A Practical Guide to Forecasting Financial Market Volatility

State of the art risk management techniques and practices—supplemented with interactive analytics All too often risk management books focus on risk measurement details without taking a broader view. Quantitative Risk Management delivers a synthesis of common sense management together with the cutting-edge tools of modern theory. This book presents a road map for tactical and strategic decision making designed to control risk and capitalize on opportunities. Most provocatively it challenges the conventional wisdom that «risk management» is or ever should be delegated to a separate department. Good managers have always known that managing risk is central to a financial firm and must be the responsibility of anyone who contributes to the profit of the firm. A guide to risk management for financial firms and managers in the post-crisis world, Quantitative Risk Management updates the techniques and tools used to measure and monitor risk. These are often mathematical and specialized, but the ideas are simple. The book starts with how we think about risk and uncertainty, then turns to a practical explanation of how risk is measured in today's complex financial markets. Covers everything from risk measures, probability, and regulatory issues to portfolio risk analytics and reporting Includes interactive graphs and computer code for portfolio risk and analytics Explains why tactical and strategic decisions must be made at every level of the firm and portfolio Providing the models, tools, and techniques firms need to build the best risk management practices, Quantitative Risk Management is an essential volume from an experienced manager and quantitative analyst.

Learn what to expect—and what's expected—as an expert witness Serving as a financial expert witness or consultant in lawsuits is a stressful, challenging, and tough business. In Financial Expert Witness Communication: A Practical Guide to Reporting and Testimony, financial forensic expert Bradley J. Preber leverages more than 30 years of experience to create a practical guide for financial expert witnesses as they face litigation reporting and testimony. Financial Expert Witness Communication covers all areas of financial litigation including accounting, financial forensics, forensic technology, and damages—all from the point of view of an expert witness. The book is especially helpful for those who expect to be formally designated as an expert witness; however, it is also appropriate for financial forensic accountants, litigation consultants, and attorneys as they navigate the unique playing field of the financial litigation process. This book gives financial experts strategies to defend the analysis, conclusions, and expert opinions they have at their disposal. It also provides thorough explanations of compliance, data limitations, and due diligence as well as how to handle demanding legal counsel, with a goal of better preparing them for the entire legal process. The book is part of the Wiley Corporate F&A Series and was created as an educational resource for nonattorney financial experts involved with U.S.-based civil litigation or alternative dispute resolution proceedings. It takes a well-rounded approach by including special chapters on such concepts as retention, privilege, responsibilities, ethics, and testimony, all written by a nationally recognized expert. As a bonus, the companion website presents an additional expert witness case study and guidelines for fulfilling an expert witness role.

Financial Risk Forecasting is a complete introduction to practical quantitative risk management, with a focus on market risk. Derived from the authors teaching notes and years spent training practitioners in risk management techniques, it brings together the three key disciplines of finance, statistics and modeling (programming), to provide a thorough grounding in risk management techniques. Written by renowned risk expert Jon Danielsson, the book begins with an introduction to financial markets and market prices, volatility clusters, fat tails and nonlinear dependence. It then goes on to present volatility forecasting with both univatiate and multivatiate methods, discussing the various methods used by industry, with a special focus on the GARCH family of models. The evaluation of the quality of forecasts is discussed in detail. Next, the main concepts in risk and models to forecast risk are discussed, especially volatility, value-at-risk and expected shortfall. The focus is both on risk in basic assets such as stocks and foreign exchange, but also calculations of risk in bonds and options, with analytical methods such as delta-normal VaR and duration-normal VaR and Monte Carlo simulation. The book then moves on to the evaluation of risk models with methods like backtesting, followed by a discussion on stress testing. The book concludes by focussing on the forecasting of risk in very large and uncommon events with extreme value theory and considering the underlying assumptions behind almost every risk model in practical use – that risk is exogenous – and what happens when those assumptions are violated. Every method presented brings together theoretical discussion and derivation of key equations and a discussion of issues in practical implementation. Each method is implemented in both MATLAB and R, two of the most commonly used mathematical programming languages for risk forecasting with which the reader can implement the models illustrated in the book. The book includes four appendices. The first introduces basic concepts in statistics and financial time series referred to throughout the book. The second and third introduce R and MATLAB, providing a discussion of the basic implementation of the software packages. And the final looks at the concept of maximum likelihood, especially issues in implementation and testing. The book is accompanied by a website – www.financialriskforecasting.com – which features downloadable code as used in the book.

Written by leading market risk academic, Professor Carol Alexander, Practical Financial Econometrics forms part two of the Market Risk Analysis four volume set. It 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. The book covers material for a one-semester graduate course in applied financial econometrics in a very pedagogical fashion as each time a concept is introduced an empirical example is given, and whenever possible this is illustrated with an Excel spreadsheet. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM . Empirical examples and case studies specific to this volume include: Factor analysis with orthogonal regressions and using principal component factors; Estimation of symmetric and asymmetric, normal and Student t GARCH and E-GARCH parameters; Normal, Student t, Gumbel, Clayton, normal mixture copula densities, and simulations from these copulas with application to VaR and portfolio optimization; Principal component analysis of yield curves with applications to portfolio immunization and asset/liability management; Simulation of normal mixture and Markov switching GARCH returns; Cointegration based index tracking and pairs trading, with error correction and impulse response modelling; Markov switching regression models (Eviews code); GARCH term structure forecasting with volatility targeting; Non-linear quantile regressions with applications to hedging.

A new, case-oriented and practical guide to one of the core techniques in respiratory medicine and critical care. Concise, practical reference designed for use in the critical care setting Case-oriented content is organised according to commonly encountered clinical scenarios Flow charts and algorithms delineate appropriate treatment protocols

This book is a practical guide to the diagnosis and management of vulval disorders. It offers guidance for all those who are treating patients with vulval disease at trainee and specialist level, helping to improve management for the patient and prevent delays in diagnosis, including referrals to specialists. It contains key information about diagnosis, investigation and basic management, with a section on signs and symptoms guides the reader to the correct chapter for the treatment of that disease. The experienced authors include updated classification and terminology of vulval disease with an explanation of how this should be useful in clinical practice and guidance as to when the patient should be referred on to a specialist. As vulval diseases are different to those of the rest of the skin patients with vulval disease present a large unmet need, often with delays in diagnosis due to a lack of training from physicians. This practical guide provides the specialist knowledge required for diagnosis and treatment of these conditions.

Praise for The Volatility Surface «I'm thrilled by the appearance of Jim Gatheral's new book The Volatility Surface. The literature on stochastic volatility is vast, but difficult to penetrate and use. Gatheral's book, by contrast, is accessible and practical. It successfully charts a middle ground between specific examples and general models–achieving remarkable clarity without giving up sophistication, depth, or breadth.» –Robert V. Kohn, Professor of Mathematics and Chair, Mathematical Finance Committee, Courant Institute of Mathematical Sciences, New York University «Concise yet comprehensive, equally attentive to both theory and phenomena, this book provides an unsurpassed account of the peculiarities of the implied volatility surface, its consequences for pricing and hedging, and the theories that struggle to explain it.» –Emanuel Derman, author of My Life as a Quant «Jim Gatheral is the wiliest practitioner in the business. This very fine book is an outgrowth of the lecture notes prepared for one of the most popular classes at NYU's esteemed Courant Institute. The topics covered are at the forefront of research in mathematical finance and the author's treatment of them is simply the best available in this form.» –Peter Carr, PhD, head of Quantitative Financial Research, Bloomberg LP Director of the Masters Program in Mathematical Finance, New York University «Jim Gatheral is an acknowledged master of advanced modeling for derivatives. In The Volatility Surface he reveals the secrets of dealing with the most important but most elusive of financial quantities, volatility.» –Paul Wilmott, author and mathematician «As a teacher in the field of mathematical finance, I welcome Jim Gatheral's book as a significant development. Written by a Wall Street practitioner with extensive market and teaching experience, The Volatility Surface gives students access to a level of knowledge on derivatives which was not previously available. I strongly recommend it.» –Marco Avellaneda, Director, Division of Mathematical Finance Courant Institute, New York University «Jim Gatheral could not have written a better book.» –Bruno Dupire, winner of the 2006 Wilmott Cutting Edge Research Award Quantitative Research, Bloomberg LP

A Practical Guide to Needs Assessment, Third Edition For fifteen years, A Practical Guide to Needs Assessment has been the go-to text for those who are seeking useful, systematic approaches to needs assessment. Needs assessment is the first step in training, performance improvement, and community development projects. This thoroughly revised and updated edition contains a treasury of resources including a toolkit of ready-to-use templates and job aids that you can customize for your own use. Illustrative case studies and tips show how to assess needs for individuals, teams, organizations, government agencies, and communities. This book combines a how-to text and reference tool for trainers, performance improvement professionals, and students. Managers and community leaders use it to get to the root of their learning and performance problems, make effective decisions, and obtain support for their most pressing issues. Updates to the third edition include: Links to online resources, including a needs assessment book that you can download for free, ethical guidelines, and vendors who assess individual, group and organizational needs. A new chapter on the complex needs assessment approach with new toolkit forms. A summary of the recent advances in our knowledge about learning, training, and performance that you can use to quickly prepare for client meetings. Guidelines on workforce surveys, such as employee engagement surveys. An Instructor’s Guide that contains discussion questions, assessments materials, and new exercises for each chapter. You can use this book to quickly access up-to-date information on the fundamentals of needs assessment including current models, theories, and resources. You can also learn how to manage and report a needs assessment project and access professional ethical guidelines. Learn five approaches to needs assessment: knowledge and skills analysis, job and task analysis, competency-based needs assessment, strategic needs assessment, and complex needs assessment.

Presenting the first book that provides HR professionals with a context for understanding the importance of doing a proper job analysis together with a step-by-step guide to conducting such an analysis. This unique guide contains a series of eight ready-to-use templates that provide the basis for conducting job analyses for eight different levels of job families, from the entry-level to the senior manager/executive.

In the United Kingdom, adjudication is available as a right for parties to a construction contract, following the enactment of the Housing Grants Construction and Regeneration Act 1996. In general, within a comparatively short period of time, parties in dispute will have a decision from an adjudicator, which, except in limited circumstances, the courts will enforce. Adjudication has become the number one method of dispute resolution in the construction industry. The short timescale means that a party needs to know what to do, when to do it and be able to check that the other party and the adjudicator are following the right steps. A Practical Guide to Construction Adjudication gives parties the necessary information to achieve this. It provides a straightforward overview of the process and procedure of adjudication by reference to legislation and case law, augmented with practical guidance including suggestions on what to do or not to do, drafting tips and checklists. Separate chapters for Scotland and Northern Ireland identify and explain the differences in procedure and judicial interpretation between those jurisdictions and England and Wales, and further detailed explanations of the adjudication regimes in Australia, Ireland, Malaysia, New Zealand and Singapore are included. Each of the chapters on jurisdictions outside England and Wales has been written by senior experts in those jurisdictions to ensure the content is accurate and insightful. There are a range of helpful appendices including a bank of model form adjudication documents and tabulated detailed comparisons of the Scheme for Construction Contracts, the other major adjudication rules, the major adjudicator nominating bodies and the UK and international regimes. Readers will particularly appreciate the most comprehensive index of adjudication cases available, sorted into 260 subject headings providing immediate access to all the reported cases on any adjudication topic.