LEADER 03124nam 2200589 a 450 001 9910953729003321 005 20251117075355.0 010 $a1-61324-507-6 035 $a(CKB)2670000000099684 035 $a(EBL)3019336 035 $a(SSID)ssj0000522193 035 $a(PQKBManifestationID)12165891 035 $a(PQKBTitleCode)TC0000522193 035 $a(PQKBWorkID)10527656 035 $a(PQKB)10675573 035 $a(MiAaPQ)EBC3019336 035 $a(Au-PeEL)EBL3019336 035 $a(CaPaEBR)ebr10670901 035 $a(OCoLC)740435882 035 $a(BIP)26717824 035 $a(EXLCZ)992670000000099684 100 $a20090213d2009 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aEconometric modeling of value-at-risk /$fTimotheos Angelidis and Stavros Degiannakis 205 $a1st ed. 210 $aNew York $cNova Science Publishers$dc2009 215 $a1 online resource (93 p.) 225 1 $aFinancial institutions and services series 300 $aDescription based upon print version of record. 311 08$a1-60741-040-0 320 $aIncludes bibliographical references and index. 327 $aIntro -- 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. 330 $aRecently risk management has become a standard prerequisite for all financial institutions. Value-at-Risk is the main tool of reporting to the bank regulators the risk that the financial institutions face. This book provides a selective survey of the risk management techniques. 410 0$aFinancial institutions and services. 606 $aRisk management$xEconometric models 606 $aValue$xEconometric models 615 0$aRisk management$xEconometric models. 615 0$aValue$xEconometric models. 676 $a338.501/5195 700 $aAngelidis$b Timotheos$01868017 701 $aDegiannakis$b Stavros$0614605 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910953729003321 996 $aEconometric modeling of value-at-risk$94475821 997 $aUNINA