Value at Risk

Name: Value at Risk
Brand: LAP Lambert Academic Publishing
SKU: 9783659853371
Price: 34.65 EUR
Availability: InStock

Some estimations under stress periods

Автор: Erisa Lamaj

Език:

Корици: С меки корици

Издател: LAP Lambert Academic Publishing

Наличност: Налично при издателя, по поръчка

Изпращаме след 17-27 дни

34.65 € 67.77 лв

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

Информация за книгата

Автор

Erisa Lamaj

Език

Английски език

Корици

Книга - С меки корици

Издадена

2016

страници

EAN

9783659853371

Enbook ID

02957118

Издател

LAP Lambert Academic Publishing

Теглоt

148

Размери

150 x 220 x 5

Пълно описание

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

Информация за книгата

Пълно описание

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