Inhaltsangabe
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.
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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.
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Empirical Risk Modeling of Financial Time Series using Value at Risk
Verlag:
LAP Lambert Academic Publishing Mai 2015, 2015
ISBN 10: 3659706752
ISBN 13: 9783659706752
Neu
Taschenbuch
Anbieter: buchversandmimpf2000, Emtmannsberg, BAYE, Deutschland
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Taschenbuch. Zustand: Neu. Neuware -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.Books on Demand GmbH, Überseering 33, 22297 Hamburg 52 pp. Englisch. Artikel-Nr. 9783659706752
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Empirical Risk Modeling of Financial Time Series using Value at Risk
Verlag:
LAP Lambert Academic Publishing, 2015
ISBN 10: 3659706752
ISBN 13: 9783659706752
Neu
Taschenbuch
Anbieter: preigu, Osnabrück, Deutschland
Verkäuferbewertung 5 von 5 Sternen
Taschenbuch. Zustand: Neu. Empirical Risk Modeling of Financial Time Series using Value at Risk | Kofi Nyamekye (u. a.) | Taschenbuch | 52 S. | Englisch | 2015 | LAP Lambert Academic Publishing | EAN 9783659706752 | Verantwortliche Person für die EU: BoD - Books on Demand, In de Tarpen 42, 22848 Norderstedt, info[at]bod[dot]de | Anbieter: preigu. Artikel-Nr. 104641474
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