Education
Jon Danielsson received his Doctor of Philosophy in the economics of financial markets from Duke University in 1991.
(Financial Risk Forecasting is a complete introduction to ...)
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.
http://www.amazon.com/gp/product/B004XW1JLU/?tag=2022091-20
Jon Danielsson received his Doctor of Philosophy in the economics of financial markets from Duke University in 1991.
Danielsson is the director of the Systemic Risk Centre at the London School of Economics. His research areas include financial risk, hedge funds, regulation of financial markets, market volatility, liquidity, models of extreme market movements, and microstructure of foreign exchange markets. He has been a Visiting Professor at universities in the United States, the Netherlands, Germany, Iceland, and Spain, and has published in a range of academic and practitioners" journals, and has presented his work in a number of universities, public institutions, and private firms.
He has written extensively on the post-crash situation in Iceland.
Jon has published two undergraduate/graduate level text books on forecasting financial risk, a complete introduction to practical quantitative risk management, with a focus on market risk and also on financial stability which uses sound economic analysis to frame the discussions on the international financial system. In 2013, Jon became director of the Systemic Risk Centre (Strategic Research Centre) which was set up to study the risks that may trigger the next financial crisis and to develop tools to help policymakers and financial institutions become better prepared.
Based at the London School of Economics, the Centre is generously funded by Economic and Social Research Council with an annual budget of £1 million. Current events schedule can be found on its website.
Jon has authored a series of discussion papers on risk and models as well as appearing in notable events with major policy makers.
JonDanielsson on Twitter.
(Financial Risk Forecasting is a complete introduction to ...)