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Econometric Modeling of Value at Risk

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Econometric Modeling of Value at Risk

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Econometric Modeling of Value at Risk by Timotheos Angelidis
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Description

Recently risk management has become a standard prerequisite for all financial institutions. Value-at-Risk is the main tool of reporting to the bank regulators the risk that the financial institutions face. As it is essential to estimate it accurately, numerous methods have been proposed in order to minimise the forecast error. This book provides a selective survey of the risk management techniques that have been applied and discusses potential improvements in estimating, evaluating and adjusting Value-at-Risk and Expected Shortfall.
Release date Australia
January 5th, 2010
Country of Publication
United States
Illustrations
tables & charts
Imprint
Nova Science Publishers Inc
Pages
83
Dimensions
230x155x10
ISBN-13
9781607410409
Product ID
3100038

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