Studies of Credit and Equity Markets with Concepts of Theoretical Physics

Download or read book Studies of Credit and Equity Markets with Concepts of Theoretical Physics written by Michael Münnix and published by Springer Science & Business Media. This book was released on 2011-07-29 with total page 181 pages. Available in PDF, EPUB and Kindle. Book excerpt: Michael C. Münnix analyses the statistical dependencies in financial markets and develops mathematical models using concepts and methods from physics. The author focuses on aspects that played a key role in the emergence of the recent financial crisis: estimation of credit risk, dynamics of statistical dependencies, and correlations on small time-scales. He visualizes the findings for various large-scale empirical studies of market data. The results give novel insights into the mechanisms of financial markets and allow conclusions on how to reduce financial risk significantly.