دانلود کتاب Anticipating correlations : a new paradigm for risk management

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Contents......Page 6
Introduction......Page 8
1.1 Introduction......Page 12
1.2 How Big Are Correlations?......Page 14
1.3 The Economics of Correlations......Page 17
1.4 An Economic Model of Correlations......Page 20
1.5 Additional Influences on Correlations......Page 24
2.1 Conditional Correlations......Page 26
2.2 Copulas......Page 28
2.3 Dependence Measures......Page 32
2.4 On the Value of Accurate Correlations......Page 36
3 Models for Correlation......Page 40
3.1 The Moving Average and the Exponential Smoother......Page 41
3.2 Vector GARCH......Page 43
3.3 Matrix Formulations and Results for Vector GARCH......Page 44
3.5 Orthogonal GARCH......Page 48
3.6 Dynamic Conditional Correlation......Page 50
3.7 Alternative Approaches and Expanded Data Sets......Page 52
4.1 DE-GARCHING......Page 54
4.2 Estimating the Quasi-Correlations......Page 56
4.3 Rescaling in DCC......Page 59
4.4 Estimation of the DCC Model......Page 66
5.1 Monte Carlo Performance of DCC......Page 70
5.2 Empirical Performance......Page 72
6 The MacGyver Method......Page 85
7.1 Theoretical Specification......Page 91
7.2 Estimating Correlations for Global Stock and Bond Returns......Page 94
8.1 Formulation of Factor Versions of DCC......Page 99
8.2 Estimation of Factor Models......Page 104
9.1 Forecasting......Page 114
9.2 Long-Run Forecasting......Page 119
9.3 Hedging Performance In-Sample......Page 122
9.4 Out-of-Sample Hedging......Page 123
9.5 Forecasting Risk in the Summer of 2007......Page 128
10 Credit Risk and Correlations......Page 133
11.1 Variance Targeting......Page 141
11.2 Correlation Targeting......Page 142
11.3 Asymptotic Distribution of DCC......Page 145
12 Conclusions......Page 148
References......Page 152
C......Page 162
K......Page 163
R......Page 164
Z......Page 165