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Empirical Risk Modeling of Financial Time Series using Value at Risk - Couverture souple

Nyamekye Kofi; Nyamekye Joyce

 
9783659706752: Empirical Risk Modeling of Financial Time Series using Value at Risk
Couverture souple
ISBN 10 : 3659706752 ISBN 13 : 9783659706752
Editeur : LAP Lambert Academic Publishing, 2015

Synopsis

The aim of this book is to highlight and illustrate selected quantitative techniques for estimating financial risk. The first module in risk assessment is concerned with the risk measure used, whereas the second module is based on the risk estimation technique. The process of risk assessment involves the Value at Risk, popularly known as VaR with some corresponding risk estimators; Expected Shortfall (ES), the Extreme Value Theory (EVT) and the Generalized Pareto Distribution (GPD). The quality of the risk estimation approach with its corresponding techniques studied shall be tested for with real data. Numerical results and programming code shall be provided for the comparative estimators by the R statistical software.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Éditeur
LAP Lambert Academic Publishing
Date d'édition
2015
Langue
anglais
ISBN 10 
3659706752
ISBN 13 
9783659706752
Reliure
Broché
Nombre de pages
52
Coordonnées du fabricant
non disponible
Personne responsable
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