Articles liés à Value at Risk: Some estimations under stress periods
Synopsis
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.
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Value at Risk
Edité par
LAP LAMBERT Academic Publishing Feb 2016, 2016
ISBN 10 : 3659853372
ISBN 13 : 9783659853371
Neuf
Taschenbuch
Vendeur : BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Taschenbuch. Etat : 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. N° de réf. du vendeur 9783659853371
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Value at Risk
Edité par
LAP LAMBERT Academic Publishing, 2016
ISBN 10 : 3659853372
ISBN 13 : 9783659853371
Neuf
Couverture souple
Vendeur : moluna, Greven, Allemagne
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Etat : 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. N° de réf. du vendeur 158430062
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Value at Risk : Some estimations under stress periods
Edité par
LAP LAMBERT Academic Publishing, 2016
ISBN 10 : 3659853372
ISBN 13 : 9783659853371
Neuf
Taschenbuch
Vendeur : AHA-BUCH GmbH, Einbeck, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Taschenbuch. Etat : 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. N° de réf. du vendeur 9783659853371
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Value at Risk: Some estimations under stress periods
Edité par
LAP LAMBERT Academic Publishing, 2016
ISBN 10 : 3659853372
ISBN 13 : 9783659853371
Neuf
Paperback
Vendeur : Revaluation Books, Exeter, Royaume-Uni
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Paperback. Etat : Brand New. 96 pages. 8.66x5.91x0.22 inches. In Stock. N° de réf. du vendeur __3659853372
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Image fournie par le vendeur
Value at Risk
Edité par
LAP LAMBERT Academic Publishing Feb 2016, 2016
ISBN 10 : 3659853372
ISBN 13 : 9783659853371
Neuf
Taschenbuch
Vendeur : buchversandmimpf2000, Emtmannsberg, BAYE, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Taschenbuch. Etat : 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. N° de réf. du vendeur 9783659853371
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