Econometric modeling of value-at-risk [[electronic resource] /] / Timotheos Angelidis and Stavros Degiannakis |
Autore | Angelidis Timotheos |
Pubbl/distr/stampa | New York, : Nova Science Publishers, c2009 |
Descrizione fisica | 1 online resource (93 p.) |
Disciplina | 338.501/5195 |
Altri autori (Persone) | DegiannakisStavros |
Collana | Financial institutions and services series |
Soggetto topico |
Risk management - Econometric models
Value - Econometric models |
Soggetto genere / forma | Electronic books. |
ISBN | 1-61324-507-6 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Record Nr. | UNINA-9910461535103321 |
Angelidis Timotheos
![]() |
||
New York, : Nova Science Publishers, c2009 | ||
![]() | ||
Lo trovi qui: Univ. Federico II | ||
|
Econometric modeling of value-at-risk [[electronic resource] /] / Timotheos Angelidis and Stavros Degiannakis |
Autore | Angelidis Timotheos |
Pubbl/distr/stampa | New York, : Nova Science Publishers, c2009 |
Descrizione fisica | 1 online resource (93 p.) |
Disciplina | 338.501/5195 |
Altri autori (Persone) | DegiannakisStavros |
Collana | Financial institutions and services series |
Soggetto topico |
Risk management - Econometric models
Value - Econometric models |
ISBN | 1-61324-507-6 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Record Nr. | UNINA-9910789693103321 |
Angelidis Timotheos
![]() |
||
New York, : Nova Science Publishers, c2009 | ||
![]() | ||
Lo trovi qui: Univ. Federico II | ||
|
Econometric modeling of value-at-risk [[electronic resource] /] / Timotheos Angelidis and Stavros Degiannakis |
Autore | Angelidis Timotheos |
Edizione | [1st ed.] |
Pubbl/distr/stampa | New York, : Nova Science Publishers, c2009 |
Descrizione fisica | 1 online resource (93 p.) |
Disciplina | 338.501/5195 |
Altri autori (Persone) | DegiannakisStavros |
Collana | Financial institutions and services series |
Soggetto topico |
Risk management - Econometric models
Value - Econometric models |
ISBN | 1-61324-507-6 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
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. |
Record Nr. | UNINA-9910809537703321 |
Angelidis Timotheos
![]() |
||
New York, : Nova Science Publishers, c2009 | ||
![]() | ||
Lo trovi qui: Univ. Federico II | ||
|