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What is financial market risk? How is it measured and analyzed? Is all financial
market risk dangerous? If not, which risk is hedgeable?
These questions, and more, are answered in this comprehensive book written
by Cornelis A. Los. The text covers such issues as:
• competing financial market hypotheses;
• degree of persistence of financial market risk;
• time–frequency and time–scale analysis of financial market risk;
• chaos and other nonunique equilibrium processes;
• consequences for term structure analysis.
This important book challenges the conventional statistical ergodicity paradigm
of global financial market risk analysis. As such it will be of great interest to
students, academics and researchers involved in financial economics, international
finance and business. It will also appeal to professionals in international banking
institutions.
Cornelis A. Los is Associate Professor of Finance at Kent State University, USA.
In the past he has been a Senior Economist of the Federal Reserve Bank of
New York and Nomura Research Institute (America), Inc., and Chief Economist
of ING Bank, New York. He has also been a Professor of Finance at Nanyang
Technological University in Singapore and at Adelaide and Deakin Universities in
Australia. His PhD is from Columbia University in the City of New York.
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