Econometric modeling of value-at-risk
Author(s)
Bibliographic Information
Econometric modeling of value-at-risk
(Financial institutions and services)
Nova Science Publishers, c2009
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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"