Global Earth Physics: A Handbook of Physical Constants

• Record Nr.: UNINA9911020205203321
• Pubbl/distr/stampa: [Place of publication not identified], : American Geophysical Union, 1995
• ISBN: 1-118-66807-3
• Disciplina: 550
• Soggetti: Physics; Physical Sciences & Mathematics; Cosmic Physics
• Lingua di pubblicazione: Inglese
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Note generali: Bibliographic Level Mode of Issuance: Monograph

Econometric modeling of value-at-risk / / Timotheos Angelidis and Stavros Degiannakis

• Record Nr.: UNINA9910953729003321
• Autore: Angelidis Timotheos
• Pubbl/distr/stampa: New York, : Nova Science Publishers, c2009
• ISBN: 1-61324-507-6
• Edizione: [1st ed.]
• Descrizione fisica: 1 online resource (93 p.)
• Collana: Financial institutions and services series
• Altri autori (Persone): DegiannakisStavros
• Disciplina: 338.501/5195
• Soggetti: Risk management - Econometric models; Value - Econometric models
• Lingua di pubblicazione: Inglese
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Note generali: Description based upon print version of record.
• Nota di bibliografia: Includes bibliographical references and index.
• Nota di contenuto: Intro -- ECONOMETRIC MODELINGOF VALUE-AT-RISK -- Contents -- Preface -- Introduction -- Value at Risk -- 2.1. Value at Risk Criticisms -- Expected Shortfall -- VaR and ES Modeling -- 4.1. Parametric Volatility Forecasting -- 4.1.1. Modeling the Underlying Distribution -- ; 4.1.2. ARCH Volatility Specifications -- 4.1.3. One-step-ahead VaR and ES Calculation under ParametricVolatility Forecasting -- 4.2. Non-Parametric Risk Management Techniques -- 4.2.1. Historical Simulation -- 4.3. Semi-Parametric Volatility Forecasting -- 4.3.1. Filtered Historical Simulation -- 4.3.2. Extreme Value Theory -- 4.4. Multi-period VaR and ES Forecasts -- 4.5. Realized Volatility Models -- Liquidity AdjustedValue-at-Risk -- 5.1. VaR Adjustments Based on the Bid-Ask Spread -- 5.2. Trading Strategies that Minimize the ExpectedCost and Its Variance -- Backtesting Value-at-Risk -- 6.1. Unconditional Coverage -- 6.2. Conditional Coverage -- 6.3. Generalization of the Conditional Coverage Test -- 6.4. Loss Functions -- Application -- Summary -- References -- Index.
• Sommario/riassunto: 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. This book provides a selective survey of the risk management techniques.