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Risk Management Through VaR Models

Name: Risk Management Through VaR Models
Brand: LAP Lambert Academic Publishing
SKU: 9783659239885
Price: 65.82 EUR
Availability: InStock

A case of Indian Stock Market (NSE)

Автор: P.A. Naidu

Език:

Корици: С меки корици

Издател: LAP Lambert Academic Publishing

Наличност: Външен склад

Изпращаме след 8-11 дни

65.82 € 128.74 лв

This book gives an overview of one of the most widespread Value at Risk Models in use in most of ris...

Информация за книгата

Автор

P.A. Naidu

Език

Английски език

Корици

Книга - С меки корици

Издадена

2013

страници

180

EAN

9783659239885

Enbook ID

02201343

Издател

LAP Lambert Academic Publishing

Теглоt

286

Размери

150 x 220 x 11

Пълно описание

This book gives an overview of one of the most widespread Value at Risk Models in use in most of risk management departments across the financial industry. VaR calculates the worst expected loss over a given horizon at a given confidence level under normal market conditions. VaR estimates can be calculated for various types of risk: market, credit, operational, etc. I focused only on Market Risk. Market risk is the risk that the value of an investment will decrease due to moves in market factors such as prices, rates, volatilities and other relevant market parameters. In such a context, VaR provides a single number summarizing the organization s exposure to market risk and the likelihood of an unfavorable move. There are mainly three groups of VaR: Analytical (also called Parametric), Historical Simulations, and Monte Carlo Simulations. Non Parametric: GARCH, EGARCH. Semi Parametric: CaVaR, Extreme Value Theory etc. Here I have used parametric and non parametric VaR models for NSE daily and intraday data.