Econometric modeling of value-at-risk

著者

• Angelidis, Timotheos
• Degiannakis, Stavros

書誌事項

Econometric modeling of value-at-risk

Timotheos Angelidis and Stavros Degiannakis

（Financial institutions and services）

Nova Science Publishers, c2009

注記

Includes bibliographical references and index

内容説明・目次

内容説明

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.

目次

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

「Nielsen BookData」 より

詳細情報

• NII書誌ID(NCID): BB08122840
• ISBN:
  • 9781607410409
• LCCN: 2009006350
• 出版国コード: us
• タイトル言語コード: eng
• 本文言語コード: eng
• 出版地: New York
• ページ数/冊数: vi, 83 p.
• 大きさ: 23 cm
• 分類:
  • LCC : HD61
  • DC22 : 338.501/5195
• 件名:
  • LCSH : Risk management -- Econometric models
  • LCSH : Value -- Econometric models
• 親書誌ID:
  • BA7268640X