Studies of Credit and Equity Markets with Concepts of Theoretical Phys
Paperback
Lieferzeit: Print on Demand - Lieferbar innerhalb von 3-5 Werktagen I
ISBN-13:
9783834817716
Veröffentl:
2011
Einband:
Paperback
Erscheinungsdatum:
29.07.2011
Seiten:
192
Autor:
Michael Münnix
Gewicht:
286 g
Format:
210x148x13 mm
Sprache:
Englisch
Beschreibung:
Financial markets are becoming increasingly complex. The financial crisis of 2008 to 2009 has demonstrated that an improved understanding of the mechanisms embedded in the market is a key requirement for the estimation of financial risk. Recently, concepts of theoretical physics, in particular concepts of complex systems, have proven to be very useful in this regard.
Michael C. Münnix analyses the statistical dependencies in financial markets and develops mathematical models using concepts and methods from physics. The author focuses on aspects that played a key role in the emergence of the recent financial crisis: estimation of credit risk, dynamics of statistical dependencies, and correlations on small time-scales. He visualizes the findings for various large-scale empirical studies of market data. The results give novel insights into the mechanisms of financial markets and allow conclusions on how to reduce financial risk significantly.
Michael C. Münnix analyses the statistical dependencies in financial markets and develops mathematical models using concepts and methods from physics. The author focuses on aspects that played a key role in the emergence of the recent financial crisis: estimation of credit risk, dynamics of statistical dependencies, and correlations on small time-scales. He visualizes the findings for various large-scale empirical studies of market data. The results give novel insights into the mechanisms of financial markets and allow conclusions on how to reduce financial risk significantly.
Financial markets are becoming increasingly complex. The financial crisis of 2008 to 2009 has demonstrated that an improved understanding of the mechanisms embedded in the market is a key requirement for the estimation of financial risk. Recently, concepts of theoretical physics, in particular concepts of complex systems, have proven to be very useful in this regard.Michael C. Münnix analyses the statistical dependencies in financial markets and develops mathematical models using concepts and methods from physics. The author focuses on aspects that played a key role in the emergence of the recent financial crisis: estimation of credit risk, dynamics of statistical dependencies, and correlations on small time-scales. He visualizes the findings for various large-scale empirical studies of market data. The results give novel insights into the mechanisms of financial markets and allow conclusions on how to reduce financial risk significantly.
Aus dem Inhalt:
Dynamics of Statistical Dependencies; Market Similarity; Copulae; The Epps Effect, Credit Risk
Dynamics of Statistical Dependencies; Market Similarity; Copulae; The Epps Effect, Credit Risk