Econometric modeling of value-at-risk / / Timotheos Angelidis and Stavros Degiannakis
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| Autore: |
Angelidis Timotheos
|
| Titolo: |
Econometric modeling of value-at-risk / / Timotheos Angelidis and Stavros Degiannakis
|
| 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. |
| 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. |
| 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.: | 9910953729003321 |
| Lo trovi qui: | Univ. Federico II |
| Opac: | Controlla la disponibilità qui |
Serie:
Financial institutions and services.