ABSTRACT

This new book uses advanced signal processing technology to measure and analyze risk phenomena of the financial markets. It explains how to scientifically measure, analyze and manage non-stationarity and long-term time dependence (long memory) of financial market returns. It studies, in particular, financial crises in persistent financial markets,

part |1 pages

Part I Financial risk processes

chapter 1|44 pages

Risk – asset class, horizon and time

chapter 2|24 pages

Competing financial market hypotheses

chapter 3|31 pages

Stable scaling distributions in finance

chapter 4|31 pages

Persistence of financial risk

part |1 pages

PART II Financial risk measurement

chapter 5|20 pages

Frequency analysis of financial risk

chapter 6|35 pages

Fourier time–frequency analysis of risk

chapter 7|40 pages

Wavelet time–scale analysis of risk

chapter 8|57 pages

Multiresolution analysis of local risk

part |1 pages

PART III Term structure dynamics

chapter 9|48 pages

Chaos – nonunique equilibria processes

chapter 10|43 pages

Measuring term structure dynamics

chapter 11|42 pages

Simulation of financial turbulence

part |1 pages

PART IV Financial risk management

chapter 12|24 pages

Managing VaR and extreme values