Econometric modeling of value-at-risk [[electronic resource] /] / Timotheos Angelidis and Stavros Degiannakis

• Autore: Angelidis Timotheos
• Pubblicazione: New York, : Nova Science Publishers, c2009
• Edizione: 1st ed.
• Descrizione fisica: 1 online resource (93 p.)
• Disciplina: 338.501/5195
• Soggetto topico: Risk management - Econometric models; Value - Econometric models
• Altri autori: DegiannakisStavros
• 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.
• Titolo autorizzato: Econometric modeling of value-at-risk
• ISBN: 1-61324-507-6
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910809537703321
• Lo trovi qui: Univ. Federico II
• Serie: Financial institutions and services.