Isbn: 9783659853371 - value at risk: some estimations under stress periods (5 risultati)

Paperback. Condizione: Brand New. 96 pages. 8.66x5.91x0.22 inches. In Stock.

Taschenbuch. Condizione: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -The VaR is trying to find the answer of the most frequent question that every investor who has invested or considering to invest in risky asset ask: which is the most I can lose in this investment According to the Basel Accord II banks are expected to use internal models for estimating their market risk and so the capital required to keep depends on VaR of their portfolio. This makes VaR the most important part of risk management techniques. Despite of its popularity and importance of VaR it has some weakness point such as Value at Risk do not give an accurate results when the returns are not Gaussian. The need to continuously innovate and improve the estimation of VaR has resulted in the use of Extreme Value Theory in risk analysis. Extreme Value Theory provides the necessary tools to analyze extreme movements when they are not Gaussian distributed. 96 pp. Englisch.…

Condizione: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Lamaj ErisaErisa Lamaj, MSc: Studied Finance and Banking at University of Rome Tor Vergata also completed a master in Credit Risk Management at La Sapienza University. Financial Analyst for renewable energy sector.The VaR is tryi. …

Taschenbuch. Condizione: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - The VaR is trying to find the answer of the most frequent question that every investor who has invested or considering to invest in risky asset ask: which is the most I can lose in this investment According to the Basel Accord II banks are expected to use internal models for estimating their market risk and so the capital required to keep depends on VaR of their portfolio. This makes VaR the most important part of risk management techniques. Despite of its popularity and importance of VaR it has some weakness point such as Value at Risk do not give an accurate results when the returns are not Gaussian. The need to continuously innovate and improve the estimation of VaR has resulted in the use of Extreme Value Theory in risk analysis. Extreme Value Theory provides the necessary tools to analyze extreme movements when they are not Gaussian distributed.…

Taschenbuch. Condizione: Neu. This item is printed on demand - Print on Demand Titel. Neuware -The VaR is trying to find the answer of the most frequent question that every investor who has invested or considering to invest in risky asset ask: which is the most I can lose in this investment According to the Basel Accord II banks are expected to use internal models for estimating their market risk and so the capital required to keep depends on VaR of their portfolio. This makes VaR the most important part of risk management techniques. Despite of its popularity and importance of VaR it has some weakness point such as Value at Risk do not give an accurate results when the returns are not Gaussian. The need to continuously innovate and improve the estimation of VaR has resulted in the use of Extreme Value Theory in risk analysis. Extreme Value Theory provides the necessary tools to analyze extreme movements when they are not Gaussian distributed.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 96 pp. Englisch.…