03124nam 2200589 a 450 991095372900332120251117075355.01-61324-507-6(CKB)2670000000099684(EBL)3019336(SSID)ssj0000522193(PQKBManifestationID)12165891(PQKBTitleCode)TC0000522193(PQKBWorkID)10527656(PQKB)10675573(MiAaPQ)EBC3019336(Au-PeEL)EBL3019336(CaPaEBR)ebr10670901(OCoLC)740435882(BIP)26717824(EXLCZ)99267000000009968420090213d2009 uy 0engur|n|---|||||txtccrEconometric modeling of value-at-risk /Timotheos Angelidis and Stavros Degiannakis1st ed.New York Nova Science Publishersc20091 online resource (93 p.)Financial institutions and services seriesDescription based upon print version of record.1-60741-040-0 Includes bibliographical references and index.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.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.Financial institutions and services.Risk managementEconometric modelsValueEconometric modelsRisk managementEconometric models.ValueEconometric models.338.501/5195Angelidis Timotheos1868017Degiannakis Stavros614605MiAaPQMiAaPQMiAaPQBOOK9910953729003321Econometric modeling of value-at-risk4475821UNINA