Econometric modeling of value-at-risk

Author(s)

• Angelidis, Timotheos
• Degiannakis, Stavros

Bibliographic Information

Econometric modeling of value-at-risk

Timotheos Angelidis and Stavros Degiannakis

（Financial institutions and services）

Nova Science Publishers, c2009

Note

Includes bibliographical references and index

Description and Table of Contents

Description

Recently risk management has become a standard prerequisite for all financial institutions. Value-at-Risk is the main tool of reporting to the bank regulators the risk that the financial institutions face. As it is essential to estimate it accurately, numerous methods have been proposed in order to minimise the forecast error. This book provides a selective survey of the risk management techniques that have been applied and discusses potential improvements in estimating, evaluating and adjusting Value-at-Risk and Expected Shortfall.

Table of Contents

• Preface
• Introduction
• Value at Risk
• Expected Shortfall
• VaR and ES Modeling
• Liquidity Adjusted Value-at-Risk
• Backtesting Value-at-Risk
• Summary
• Index.

by "Nielsen BookData"

• NCID: BB08122840
• ISBN:
  • 9781607410409
• LCCN: 2009006350
• Country Code: us
• Title Language Code: eng
• Text Language Code: eng
• Place of Publication: New York
• Pages/Volumes: vi, 83 p.
• Size: 23 cm
• Classification:
  • LCC : HD61
  • DC22 : 338.501/5195
• Subject Headings:
  • LCSH : Risk management -- Econometric models
  • LCSH : Value -- Econometric models
• Parent Bibliography ID:
  • BA7268640X