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[null,"1.","Record Nr.",null,"UNINA9910953729003321"]
[null,null,"Autore",null,"Angelidis Timotheos"]
[null,null,"Titolo",null,"Econometric modeling of value-at-risk / / Timotheos Angelidis and Stavros Degiannakis"]
[null,null,"Pubbl/distr/stampa",null,"New York, : Nova Science Publishers, c2009"]
[null,null,"ISBN",null,"1-61324-507-6"]
[null,null,"Edizione",null,"[1st ed.]"]
[null,null,"Descrizione fisica",null,"1 online resource (93 p.)"]
[null,null,"Collana",null,"Financial institutions and services series"]
[null,null,"Disciplina",null,"338.501/5195"]
[null,null,"Soggetti",null,"Risk management - Econometric models"]
[{"$nulls":4},"Value - Econometric models"]
[null,null,"Lingua di pubblicazione",null,"Inglese"]
[null,null,"Formato",null,"Materiale a stampa"]
[null,null,null,"Livello bibliografico","Monografia"]
[null,null,null,"Note generali","Description based upon print version of record."]
[null,null,null,"Nota di bibliografia","Includes bibliographical references and index."]
[null,null,"Nota di contenuto",null,"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."]
[null,null,null,"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."]