Modeling of extreme events and stress testing analysis - Softcover
In this book we estimated value at risk and return level using extreme value theory as an alternative mechanism to generate stress scenarios. The methodology is applied to S&P 500 Index and to dollar / euro exchange rate. Additionally, the estimation of a generalized extreme value distribution or a generalized pareto distribution combined with the mixing unconditional disturbances model is developed as a tool that can be used to create values for sensitivity test purpose.
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- PublisherVDM Verlag Dr. Müller
- Publication date2010
- ISBN 10 363924088X
- ISBN 13 9783639240887
- BindingPaperback
- Number of pages56
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Modeling of extreme events and stress testing analysis
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Modeling of extreme events and stress testing analysis
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Modeling of extreme events and stress testing analysis
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Book Description Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -In this book we estimated value at risk and return level using extreme value theory as an alternative mechanism to generate stress scenarios. The methodology is applied to S&P 500 Index and to dollar / euro exchange rate. Additionally, the estimation of a generalized extreme value distribution or a generalized pareto distribution combined with the mixing unconditional disturbances model is developed as a tool that can be used to create values for sensitivity test purpose. 56 pp. Englisch. Seller Inventory # 9783639240887
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Modeling of extreme events and stress testing analysis
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Modeling of extreme events and stress testing analysis
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(2010)
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Modeling of extreme events and stress testing analysis
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Book Description Taschenbuch. Condition: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - In this book we estimated value at risk and return level using extreme value theory as an alternative mechanism to generate stress scenarios. The methodology is applied to S&P 500 Index and to dollar / euro exchange rate. Additionally, the estimation of a generalized extreme value distribution or a generalized pareto distribution combined with the mixing unconditional disturbances model is developed as a tool that can be used to create values for sensitivity test purpose. Seller Inventory # 9783639240887
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Modeling of extreme events and stress testing analysis
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Book Description Kartoniert / Broschiert. Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Suarez RonnyLicentiate in Economics at University of Costa Rica (2001), Master in Business Administration at Incae Business School (2004), and Master in Financial Management at Rotterdam School of Management (2008). Over ten years. Seller Inventory # 4970113
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