Value at Risk : Some estimations under stress periods

Language: English

Published by LAP LAMBERT Academic Publishing, 2016

3659853372 / 9783659853371

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nach der Bestellung gedruckt Neuware - Printed after ordering - The VaR is trying to find the answer of the most frequent question that every investor who has invested or considering to invest in risky asset ask: which is the most I can lose in this investment According to the Basel Accord II banks are expected to use internal models for estimating their market risk and so the capital required to keep depends on VaR of their portfolio. This makes VaR the most important part of risk management techniques. Despite of its popularity and importance of VaR it has some weakness point such as Value at Risk do not give an accurate results when the returns are not Gaussian. The need to continuously innovate and improve the estimation of VaR has resulted in the use of Extreme Value Theory in risk analysis. Extreme Value Theory provides the necessary tools to analyze extreme movements when they are not Gaussian distributed.

Seller Inventory # 9783659853371

Title
Value at Risk : Some estimations under stress periods
Author
Erisa Lamaj
Publisher
LAP LAMBERT Academic Publishing
Publication year
2016
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
3659853372
ISBN 13
9783659853371
Item weight
161 grams
Dimensions
220x150x6 mm

AHA-BUCH GmbH

Einbeck, Germany

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AbeBooks seller since August 14, 2006

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