Value at Risk

Name: Value at Risk
Brand: LAP Lambert Academic Publishing
SKU: 9783659853371
Price: 651 CZK
Availability: InStock

Some estimations under stress periods

Autor: Erisa Lamaj

Jazyk:

Vazba: Brožovaná

Vydavatel: LAP Lambert Academic Publishing

Dostupnost: Skladem u dodavatele

Odesíláme za 8-11 dnů

651 Kč

The VaR is trying to find the answer of the most frequent question that every investor who has inves...

Informace o knize

Autor

Erisa Lamaj

Jazyk

Angličtina

Vazba

Kniha - Brožovaná

Vydáno

2016

Stránek

EAN

9783659853371

Enbook ID

02957118

Vydavatel

LAP Lambert Academic Publishing

Hmotnost

148

Rozměry

150 x 220 x 5

Kompletní popis

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.

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Value at Risk

Some estimations under stress periods

Informace o knize

Kompletní popis

Mohlo by vás zajímat

Zákaznicí kteří koupili tuto knihu koupili také