Anticipating Correlations : A New Paradigm for Risk Management
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| Title: | Anticipating Correlations : A New Paradigm for Risk Management |
|---|---|
| Description: | Financial markets respond to information virtually instantaneously. Each new piece of information influences the prices of assets and their correlations with each other, and as the system rapidly changes, so too do correlation forecasts. This fast-evolving environment presents econometricians with the challenge of forecasting dynamic correlations, which are essential inputs to risk measurement, portfolio allocation, derivative pricing, and many other critical financial activities. In Anticipating Correlations, Nobel Prize-winning economist Robert Engle introduces an important new method for estimating correlations for large systems of assets: Dynamic Conditional Correlation (DCC). Engle demonstrates the role of correlations in financial decision making, and addresses the economic underpinnings and theoretical properties of correlations and their relation to other measures of dependence. He compares DCC with other correlation estimators such as historical correlation, exponential smoothing, and multivariate GARCH, and he presents a range of important applications of DCC. Engle presents the asymmetric model and illustrates it using a multicountry equity and bond return model. He introduces the new FACTOR DCC model that blends factor models with the DCC to produce a model with the best features of both, and illustrates it using an array of U.S. large-cap equities. Engle shows how overinvestment in collateralized debt obligations, or CDOs, lies at the heart of the subprime mortgage crisis--and how the correlation models in this book could have foreseen the risks. A technical chapter of econometric results also is included. Based on the Econometric and Tinbergen Institutes Lectures, Anticipating Correlations puts powerful new forecasting tools into the hands of researchers, financial analysts, risk managers, derivative quants, and graduate students. |
| Authors: | Robert Engle |
| Resource Type: | eBook. |
| Subjects: | Risk management--Mathematical models, Correlation (Statistics), Finance--Econometric models, Economic forecasting--Mathematical models |
| Categories: | BUSINESS & ECONOMICS / Econometrics, BUSINESS & ECONOMICS / Finance / General, BUSINESS & ECONOMICS / Forecasting |
| Database: | eBook Collection (EBSCOhost) |
| FullText | Links: – Type: ebook-pdf Text: Availability: 0 |
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| Items | – Name: Title Label: Title Group: Ti Data: Anticipating Correlations : A New Paradigm for Risk Management – Name: Abstract Label: Description Group: Ab Data: Financial markets respond to information virtually instantaneously. Each new piece of information influences the prices of assets and their correlations with each other, and as the system rapidly changes, so too do correlation forecasts. This fast-evolving environment presents econometricians with the challenge of forecasting dynamic correlations, which are essential inputs to risk measurement, portfolio allocation, derivative pricing, and many other critical financial activities. In Anticipating Correlations, Nobel Prize-winning economist Robert Engle introduces an important new method for estimating correlations for large systems of assets: Dynamic Conditional Correlation (DCC). Engle demonstrates the role of correlations in financial decision making, and addresses the economic underpinnings and theoretical properties of correlations and their relation to other measures of dependence. He compares DCC with other correlation estimators such as historical correlation, exponential smoothing, and multivariate GARCH, and he presents a range of important applications of DCC. Engle presents the asymmetric model and illustrates it using a multicountry equity and bond return model. He introduces the new FACTOR DCC model that blends factor models with the DCC to produce a model with the best features of both, and illustrates it using an array of U.S. large-cap equities. Engle shows how overinvestment in collateralized debt obligations, or CDOs, lies at the heart of the subprime mortgage crisis--and how the correlation models in this book could have foreseen the risks. A technical chapter of econometric results also is included. Based on the Econometric and Tinbergen Institutes Lectures, Anticipating Correlations puts powerful new forecasting tools into the hands of researchers, financial analysts, risk managers, derivative quants, and graduate students. – Name: Author Label: Authors Group: Au Data: <searchLink fieldCode="AR" term="%22Robert+Engle%22">Robert Engle</searchLink> – Name: TypePub Label: Resource Type Group: TypPub Data: eBook. – Name: Subject Label: Subjects Group: Su Data: <searchLink fieldCode="DE" term="%22Risk+management--Mathematical+models%22">Risk management--Mathematical models</searchLink><br /><searchLink fieldCode="DE" term="%22Correlation+%28Statistics%29%22">Correlation (Statistics)</searchLink><br /><searchLink fieldCode="DE" term="%22Finance--Econometric+models%22">Finance--Econometric models</searchLink><br /><searchLink fieldCode="DE" term="%22Economic+forecasting--Mathematical+models%22">Economic forecasting--Mathematical models</searchLink> – Name: SubjectBISAC Label: Categories Group: Su Data: <searchLink fieldCode="ZK" term="%22BUSINESS+%26+ECONOMICS+%2F+Econometrics%22">BUSINESS & ECONOMICS / Econometrics</searchLink><br /><searchLink fieldCode="ZK" term="%22BUSINESS+%26+ECONOMICS+%2F+Finance+%2F+General%22">BUSINESS & ECONOMICS / Finance / General</searchLink><br /><searchLink fieldCode="ZK" term="%22BUSINESS+%26+ECONOMICS+%2F+Forecasting%22">BUSINESS & ECONOMICS / Forecasting</searchLink> |
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| RecordInfo | BibRecord: BibEntity: Classifications: – Code: 332.678 Scheme: ddc Type: prePub Languages: – Code: eng Text: English Subjects: – SubjectFull: Risk management--Mathematical models Type: general – SubjectFull: Correlation (Statistics) Type: general – SubjectFull: Finance--Econometric models Type: general – SubjectFull: Economic forecasting--Mathematical models Type: general Titles: – TitleFull: Anticipating Correlations : A New Paradigm for Risk Management Type: main BibRelationships: HasContributorRelationships: – PersonEntity: Name: NameFull: Robert Engle – PersonEntity: Name: NameFull: Robert Engle IsPartOfRelationships: – BibEntity: Dates: – D: 01 M: 01 Type: published Y: 2009 – D: 04 M: 02 Type: profile Y: 2014 Identifiers: – Type: isbn-print Value: 9780691116419 – Type: isbn-electronic Value: 9781400830190 Titles: – TitleFull: Anticipating Correlations : A New Paradigm for Risk Management Type: main |
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