Value at risk models . v.4 [Material Electrónico] / Carol Alexander

Por: Alexander, CarolDatos de publicación: Chichester: John Wiley & Sons, c2008Descripción: 1 CD-ROM CD-ROMTema(s): METODOS DE ANALISIS | RIESGO FINANCIERO | MODELOS MATEMATICOS | RIESGO DE MERCADO | VALUE AT RISK-VARResumen: Contiene hojas de cálculo de Excel interactivas con ejemplos empíricos y estudios de casos específicos referidos a los contenidos del libro. Incluye: Parametric linear value at risk (VaR) models: normal, Student t and normal mixture and their expected tail loss (ETL). New formulae for parametric linear VaR based on autocorrelated returns. Historical simulation VaR models: how to scale historical VaR and volatility adjusted historical VaR. Monte Carlo simulation VaR models based on multivariate normal and Student t distributions, and based on copulas. Examples and case studies of numerous applications to interest rate sensitive, equity, commodity and international portfolios. Decomposition of systematic VaR of large portfolios into standard alone and marginal VaR components. Backtesting and the assessment of risk model risk. Hypothetical factor push and historical stress tests, and stress testing based on VaR and ETL.
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Material Electrónico Material Electrónico Pocitos Colección Riesgo RIESGO CD 375 Disponible P34856

Material acompañante de Market risk analysis, v.4. Solicitar por 658.811 ALEm v.4

Contiene hojas de cálculo de Excel interactivas con ejemplos empíricos y estudios de casos específicos referidos a los contenidos del libro. Incluye: Parametric linear value at risk (VaR) models: normal, Student t and normal mixture and their expected tail loss (ETL). New formulae for parametric linear VaR based on autocorrelated returns. Historical simulation VaR models: how to scale historical VaR and volatility adjusted historical VaR. Monte Carlo simulation VaR models based on multivariate normal and Student t distributions, and based on copulas. Examples and case studies of numerous applications to interest rate sensitive, equity, commodity and international portfolios. Decomposition of systematic VaR of large portfolios into standard alone and marginal VaR components. Backtesting and the assessment of risk model risk. Hypothetical factor push and historical stress tests, and stress testing based on VaR and ETL.

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