9783846515358 - cornish-fisher expansion and value-at-risk: cornish-fisher expansion and value-at-risk methods in application to risk management of large portfolios di sjöstrand, maria; aktaş, özlem (9 risultati)
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Da: Books Puddle, New York, NY, U.S.A.Books Puddle
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Condizione: New. pp. 84.
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Da: preigu, Osnabrück, Germaniapreigu
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EUR 43,40
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Taschenbuch. Condizione: Neu. Cornish-Fisher Expansion and Value-at-Risk | Cornish-Fisher Expansion and Value-at-Risk Methods in Application to Risk Management of Large Portfolios | Maria Sjöstrand (u. a.) | Taschenbuch | 84 S. | Englisch | 2011 | LAP LAMBERT Academic Publishing | EAN 9783846515358 | Verantwortliche Person für d…ie EU: preigu GmbH & Co. KG, Lengericher Landstr. 19, 49078 Osnabrück, mail[at]preigu[dot]de | Anbieter: preigu.
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Da: Mispah books, Redhill, SURRE, Regno UnitoMispah books
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paperback. Condizione: Like New. LIKE NEW. SHIPS FROM MULTIPLE LOCATIONS. book.
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Da: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, GermaniaBuchWeltWeit Ludwig Meier e.K.
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Taschenbuch. Condizione: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -One of the major problems faced by banks is how to manage the risk exposure in large portfolios. According to Basel II regulation banks has to measure the risk using Value-at-Risk with confidence level 99%. However, this regulation… does not specify the way to calculate Value-at-Risk. The easiest and most common way to calculate Value-at-Risk is to assume that portfolio returns are normally distributed. The previous crisis shows that the regular methods are unfortunately not always enough to prevent bankruptcy. This study is devoted to compare the classical methods of estimating risk with other methods such as Cornish-Fisher Expansion (CFVaR) and assuming generalized hyperbolic distribution. For this study, we estimate the risk in a large portfolio consisting of ten stocks, chosen from the NASDAQ 100-list and from different sectors in order to have well-diversified and highly liquid portfolio. The results show that for a well-diversified large portfolio none of the risk measures are violated. However, for a portfolio consisting of only one highly volatile stock we prove that we have a violation in the classical methods but not when we use the modern methods mentioned above. 84 pp. Englisch.
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Da: Majestic Books, Hounslow, Regno UnitoMajestic Books
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Condizione: New. Print on Demand pp. 84 2:B&W 6 x 9 in or 229 x 152 mm Perfect Bound on Creme w/Gloss Lam.
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Da: AHA-BUCH GmbH, Einbeck, GermaniaAHA-BUCH GmbH
Contatta il venditoreVenditore con 5 stelleCondizione: Nuovo
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Taschenbuch. Condizione: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - One of the major problems faced by banks is how to manage the risk exposure in large portfolios. According to Basel II regulation banks has to measure the risk using Value-at-Risk with confidence level 99%. However, this regulation does… not specify the way to calculate Value-at-Risk. The easiest and most common way to calculate Value-at-Risk is to assume that portfolio returns are normally distributed. The previous crisis shows that the regular methods are unfortunately not always enough to prevent bankruptcy. This study is devoted to compare the classical methods of estimating risk with other methods such as Cornish-Fisher Expansion (CFVaR) and assuming generalized hyperbolic distribution. For this study, we estimate the risk in a large portfolio consisting of ten stocks, chosen from the NASDAQ 100-list and from different sectors in order to have well-diversified and highly liquid portfolio. The results show that for a well-diversified large portfolio none of the risk measures are violated. However, for a portfolio consisting of only one highly volatile stock we prove that we have a violation in the classical methods but not when we use the modern methods mentioned above.
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Da: Biblios, frankfurt am main, HESSE, GermaniaBiblios
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Condizione: New. PRINT ON DEMAND pp. 84.
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Da: moluna, Greven, Germaniamoluna
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Condizione: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Sjoestrand MariaMaria Sjoestrand & Oezlem Aktas received their M.S. degree in Financial Mathematics from Halmstad University, Sweden in 2011. Maria(1987-Sweden), has B.S. degree in Mathematics-Halmstad… University and Economics-Linnaeus.
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Da: buchversandmimpf2000, Emtmannsberg, BAYE, Germaniabuchversandmimpf2000
Contatta il venditoreVenditore con 5 stelleCondizione: Nuovo
EUR 49,00
EUR 60,00 spedizioneSpedito da Germania a U.S.A.Quantità: 1 disponibili
Taschenbuch. Condizione: Neu. This item is printed on demand - Print on Demand Titel. Neuware -One of the major problems faced by banks is how to manage the risk exposure in large portfolios. According to Basel II regulation banks has to measure the risk using Value-at-Risk with confidence level 99%. However, this regulation doe…s not specify the way to calculate Value-at-Risk. The easiest and most common way to calculate Value-at-Risk is to assume that portfolio returns are normally distributed. The previous crisis shows that the regular methods are unfortunately not always enough to prevent bankruptcy. This study is devoted to compare the classical methods of estimating risk with other methods such as Cornish-Fisher Expansion (CFVaR) and assuming generalized hyperbolic distribution. For this study, we estimate the risk in a large portfolio consisting of ten stocks, chosen from the NASDAQ 100-list and from different sectors in order to have well-diversified and highly liquid portfolio. The results show that for a well-diversified large portfolio none of the risk measures are violated. However, for a portfolio consisting of only one highly volatile stock we prove that we have a violation in the classical methods but not when we use the modern methods mentioned above.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 84 pp. Englisch.
