Value-at-Risk: Theory and Practice. Questo articolo non è disponibile.
Lingua: inglese
Editore: Academic Press Inc, 2004
- Rilegato
- Usato
Da: Sell Books, Elland, Yorks, Regno UnitoSell Books
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Codice articolo P-BQL00010-CHE-20240502-G
- Titolo
- Value-at-Risk: Theory and Practice
- Autore
- Holton, Glyn A.
- Editore
- Academic Press Inc
- Anno di pubblicazione
- 2004
- Condizione
- Good
- Rilegatura
- hardcover
- Lingua
- inglese
- ISBN 10
- 0123540100
- ISBN 13
- 9780123540102
Practical, detailed examples are drawn from markets around the world, including: Euro deposits, Pacific Basin equities, physical coffees, and North American natural gas.
Real-world challenges relating to market data, portfolio mappings, multicollinearity, and intra-horizon events are addressed in detail. Exercises reinforce concepts and walk readers step-by-step through computations.
Sophisticated techniques are fully disclosed, including: quadratic ("delta-gamma") methods for nonlinear portfolios, variance reduction (control variates and stratified sampling) for Monte Carlo VaR measures, principal component remappings, techniques to "fix" estimated covariance matrices that are not positive-definite, the Cornish-Fisher expansion, and orthogonal GARCH.
* First advanced text on Value-at-Risk
* Practical, detailed examples drawn from markets around the world
* Exercises reinforce concepts and walk readers step-by-step through computations
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