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Market Risk Analysis: Practical Financial Econometrics, Volume 2

Carol Alexander

Volume two of Market Risk Analysis introduces the econometric techniques that are commonly applied to finance with a critical and selective exposition, emphasising the areas of econometrics, such as GARCH, cointegration and copulas that are required for resolving problems in market risk analysis.

ISBN: 9780470998014

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10 - 11 May, 2010
London, UK

This course will enable you to understand the major causes of risk in mortgage backed securities markets and develop appropriate solutions for managing those types of risk. The programme includes prepayment, default and arrears risk and during the course you will apply a wide range of models and techniques to these areas. Also covered are modern instruments such as balance guaranteed swaps, equity release mortgages and property derivatives. Pricing examples are given, but the focus of the programme is on managing risk, hedging and scenario analysis.

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