Items related to Measuring Value at Risk using Copula Theory: Portfolio...
Measuring Value at Risk using Copula Theory: Portfolio risk measurement during the financial crisis - Softcover
Synopsis
This work is devoted to value-at-risk estimation using the copula method. The first part explores extreme value theory. We describe risk modeling and asset volatility. The second part presents a GJR-GARCH version of copulas to analyze asymmetric dependence, measuring complex non-linear relationships among stock index returns. We present a VAR measurement method based on extreme value theory and copula theory. The results show that copula-based methods are better at modeling dependence structure and yield better risk estimates.
"synopsis" may belong to another edition of this title.
Search results for Measuring Value at Risk using Copula Theory: Portfolio...
Seller Image
Measuring Value at Risk using Copula Theory
Published by
Our Knowledge Publishing Okt 2023, 2023
ISBN 10: 6206528863
ISBN 13: 9786206528869
New
Taschenbuch
Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Germany
Seller rating 5 out of 5 stars
Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -This work is devoted to value-at-risk estimation using the copula method. The first part explores extreme value theory. We describe risk modeling and asset volatility. The second part presents a GJR-GARCH version of copulas to analyze asymmetric dependence, measuring complex non-linear relationships among stock index returns. We present a VAR measurement method based on extreme value theory and copula theory. The results show that copula-based methods are better at modeling dependence structure and yield better risk estimates. 52 pp. Englisch. Seller Inventory # 9786206528869
Buy New
US$ 52.26
US$ 26.58 shipping
Ships from Germany to U.S.A.
Ships from Germany to U.S.A.
Quantity: 2 available
Seller Image
Measuring Value at Risk using Copula Theory
Published by
Our Knowledge Publishing, 2023
ISBN 10: 6206528863
ISBN 13: 9786206528869
New
Softcover
Seller: moluna, Greven, Germany
Seller rating 5 out of 5 stars
Condition: New. Seller Inventory # 1206356069
Buy New
US$ 42.40
US$ 56.62 shipping
Ships from Germany to U.S.A.
Ships from Germany to U.S.A.
Quantity: Over 20 available
Seller Image
Measuring Value at Risk using Copula Theory
Published by
Our Knowledge Publishing Okt 2023, 2023
ISBN 10: 6206528863
ISBN 13: 9786206528869
New
Taschenbuch
Seller: buchversandmimpf2000, Emtmannsberg, BAYE, Germany
Seller rating 5 out of 5 stars
Taschenbuch. Condition: Neu. This item is printed on demand - Print on Demand Titel. Neuware -This work is devoted to value-at-risk estimation using the copula method. The first part explores extreme value theory. We describe risk modeling and asset volatility. The second part presents a GJR-GARCH version of copulas to analyze asymmetric dependence, measuring complex non-linear relationships among stock index returns. We present a VAR measurement method based on extreme value theory and copula theory. The results show that copula-based methods are better at modeling dependence structure and yield better risk estimates.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 52 pp. Englisch. Seller Inventory # 9786206528869
Buy New
US$ 52.26
US$ 69.34 shipping
Ships from Germany to U.S.A.
Ships from Germany to U.S.A.
Quantity: 1 available
Seller Image
Measuring Value at Risk using Copula Theory : Portfolio risk measurement during the financial crisis
Published by
Our Knowledge Publishing, 2023
ISBN 10: 6206528863
ISBN 13: 9786206528869
New
Taschenbuch
Seller: AHA-BUCH GmbH, Einbeck, Germany
Seller rating 5 out of 5 stars
Taschenbuch. Condition: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - This work is devoted to value-at-risk estimation using the copula method. The first part explores extreme value theory. We describe risk modeling and asset volatility. The second part presents a GJR-GARCH version of copulas to analyze asymmetric dependence, measuring complex non-linear relationships among stock index returns. We present a VAR measurement method based on extreme value theory and copula theory. The results show that copula-based methods are better at modeling dependence structure and yield better risk estimates. Seller Inventory # 9786206528869
Buy New
US$ 53.08
US$ 69.90 shipping
Ships from Germany to U.S.A.
Ships from Germany to U.S.A.
Quantity: 1 available
Seller Image
Measuring Value at Risk using Copula Theory | Portfolio risk measurement during the financial crisis
Published by
Our Knowledge Publishing, 2023
ISBN 10: 6206528863
ISBN 13: 9786206528869
New
Taschenbuch
Seller: preigu, Osnabrück, Germany
Seller rating 5 out of 5 stars
Taschenbuch. Condition: Neu. Measuring Value at Risk using Copula Theory | Portfolio risk measurement during the financial crisis | Samia Ben Messaoud | Taschenbuch | Englisch | 2023 | Our Knowledge Publishing | EAN 9786206528869 | Verantwortliche Person für die EU: preigu GmbH & Co. KG, Lengericher Landstr. 19, 49078 Osnabrück, mail[at]preigu[dot]de | Anbieter: preigu. Seller Inventory # 127853480
Buy New
US$ 46.96
US$ 80.90 shipping
Ships from Germany to U.S.A.
Ships from Germany to U.S.A.
Quantity: 5 available