Info
- Utilizzare la checkbox di selezione a fianco di ciascun documento per attivare le funzionalità di stampa, invio email, download nei formati disponibili del (i) record.
Econometric modeling of value-at-risk [[electronic resource] /] / Timotheos Angelidis and Stavros Degiannakis
| 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 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Econometric modeling of value-at-risk [[electronic resource] /] / Timotheos Angelidis and Stavros Degiannakis
| 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 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Econometric modeling of value-at-risk [[electronic resource] /] / Timotheos Angelidis and Stavros Degiannakis
| 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 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Global Market Conditions and Systemic Risk / / Brenda Gonzalez-Hermosillo, Heiko Hesse
| Global Market Conditions and Systemic Risk / / Brenda Gonzalez-Hermosillo, Heiko Hesse |
| Autore | Gonzalez-Hermosillo Brenda |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
| Descrizione fisica | 22 p. : ill |
| Altri autori (Persone) | HesseHeiko |
| Collana | IMF Working Papers |
| Soggetto topico |
Global Financial Crisis, 2008-2009
Financial crises - Econometric models Risk management - Econometric models Time-series analysis - Econometric models Finance: General Financial Risk Management General Financial Markets: Government Policy and Regulation Financial Crises General Financial Markets: General (includes Measurement and Data) International Financial Markets Finance Economic & financial crises & disasters Systemic risk Financial crises Stock markets Currency markets Interbank markets Financial risk management Stock exchanges Foreign exchange market International finance |
| ISBN |
1-4623-8603-2
1-4527-8638-0 1-4518-7377-8 1-282-84431-8 9786612844317 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910788224403321 |
|
Gonzalez-Hermosillo Brenda
|
||
| Washington, D.C. : , : International Monetary Fund, , 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Global Market Conditions and Systemic Risk / / Brenda Gonzalez-Hermosillo, Heiko Hesse
| Global Market Conditions and Systemic Risk / / Brenda Gonzalez-Hermosillo, Heiko Hesse |
| Autore | Gonzalez-Hermosillo Brenda |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
| Descrizione fisica | 22 p. : ill |
| Disciplina | 337 |
| Altri autori (Persone) | HesseHeiko |
| Collana | IMF Working Papers |
| Soggetto topico |
Global Financial Crisis, 2008-2009
Financial crises - Econometric models Risk management - Econometric models Time-series analysis - Econometric models Finance: General Financial Risk Management General Financial Markets: Government Policy and Regulation Financial Crises General Financial Markets: General (includes Measurement and Data) International Financial Markets Finance Economic & financial crises & disasters Systemic risk Financial crises Stock markets Currency markets Interbank markets Financial risk management Stock exchanges Foreign exchange market International finance |
| ISBN |
1-4623-8603-2
1-4527-8638-0 1-4518-7377-8 1-282-84431-8 9786612844317 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Intro -- Contents -- I. Introduction -- II. Overview of Systemic Risk -- III. Global Market Conditions and Systemic Risk: A Qualitative View -- IV. Markov-Regime Switching Analysis -- A. Results During the Peak of the Crisis -- B. Results After Massive Government Programs in 2009 to Address the Global Crisis -- V. Conclusion -- Figures -- 1. Euro-Dollar Forex Swap -- 2. Markov-Switching ARCH Model of VIX -- 3. Markov-Switching ARCH Model of TED Spread -- 4. Euro-Dollar Forex Swap -- 5a. Markov-Switching ARCH Model of VIX -- 5b. Markov-Switching ARCH Model of VIX -- 6a. Markov-Switching ARCH Model of TED Spread -- 6b. Markov-Switching ARCH Model of TED Spread. |
| Record Nr. | UNINA-9910829094403321 |
|
Gonzalez-Hermosillo Brenda
|
||
| Washington, D.C. : , : International Monetary Fund, , 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Global market conditions and systemic risk [[electronic resource] /] / prepared by Brenda González-Hermosillo and Heiko Hesse
| Global market conditions and systemic risk [[electronic resource] /] / prepared by Brenda González-Hermosillo and Heiko Hesse |
| Autore | González-Hermosillo Brenda |
| Pubbl/distr/stampa | [Washington, D.C.], : International Monetary Fund, Monetary and Capital Markets Dept., 2009 |
| Descrizione fisica | 22 p. : ill |
| Altri autori (Persone) | HesseHeiko |
| Collana | IMF working paper |
| Soggetto topico |
Global Financial Crisis, 2008-2009
Financial crises - Econometric models Risk management - Econometric models Time-series analysis - Econometric models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-4623-8603-2
1-4527-8638-0 1-4518-7377-8 1-282-84431-8 9786612844317 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910463688603321 |
|
González-Hermosillo Brenda
|
||
| [Washington, D.C.], : International Monetary Fund, Monetary and Capital Markets Dept., 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Institutional quality, knightian uncertainty, and insurability [[electronic resource] ] : a cross-country analysis / / [prepared by] S. Nuri Erbas̜ and Chera L. Sayers
| Institutional quality, knightian uncertainty, and insurability [[electronic resource] ] : a cross-country analysis / / [prepared by] S. Nuri Erbas̜ and Chera L. Sayers |
| Autore | Erbas S. Nuri |
| Pubbl/distr/stampa | [Washington, D.C.], : International Monetary Fund, c2006 |
| Descrizione fisica | 1 online resource (15 p.) |
| Altri autori (Persone) | SayersChera L |
| Collana | IMF working paper |
| Soggetto topico |
Risk (Insurance)
Risk management - Econometric models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-4623-8108-1
1-4527-2996-4 1-282-63669-3 9786613822871 1-4519-8808-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | ""Contents""; ""I. INTRODUCTION""; ""II. INSTITUTIONAL QUALITY AND KNIGHTISAN UNCERTAINTY: AN INTERPRETATION""; ""III. METHODOLOGY""; ""IV. REGRESSION RESULTS""; ""V. CONCLUSIONS""; ""REFERENCES"" |
| Record Nr. | UNINA-9910464582503321 |
|
Erbas S. Nuri
|
||
| [Washington, D.C.], : International Monetary Fund, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Institutional Quality, Knightian Uncertainty, and Insurability : : A Cross-Country Analysis / / S. Erbas, Chera Sayers
| Institutional Quality, Knightian Uncertainty, and Insurability : : A Cross-Country Analysis / / S. Erbas, Chera Sayers |
| Autore | Erbas S |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2006 |
| Descrizione fisica | 1 online resource (15 p.) |
| Altri autori (Persone) | SayersChera |
| Collana | IMF Working Papers |
| Soggetto topico |
Risk (Insurance)
Risk management - Econometric models Insurance Macroeconomics Industries: Financial Services Intelligence (AI) & Semantics Insurance Companies Actuarial Studies Formal and Informal Sectors Shadow Economy Institutional Arrangements Personal Income, Wealth, and Their Distributions Pension Funds Non-bank Financial Institutions Financial Instruments Institutional Investors Technological Change: Choices and Consequences Diffusion Processes Insurance & actuarial studies Finance Artificial intelligence Personal income Insurance companies Income |
| ISBN |
1-4623-8108-1
1-4527-2996-4 1-282-63669-3 9786613822871 1-4519-8808-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | ""Contents""; ""I. INTRODUCTION""; ""II. INSTITUTIONAL QUALITY AND KNIGHTISAN UNCERTAINTY: AN INTERPRETATION""; ""III. METHODOLOGY""; ""IV. REGRESSION RESULTS""; ""V. CONCLUSIONS""; ""REFERENCES"" |
| Record Nr. | UNINA-9910788410803321 |
|
Erbas S
|
||
| Washington, D.C. : , : International Monetary Fund, , 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Institutional Quality, Knightian Uncertainty, and Insurability : : A Cross-Country Analysis / / S. Erbas, Chera Sayers
| Institutional Quality, Knightian Uncertainty, and Insurability : : A Cross-Country Analysis / / S. Erbas, Chera Sayers |
| Autore | Erbas S |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2006 |
| Descrizione fisica | 1 online resource (15 p.) |
| Altri autori (Persone) | SayersChera |
| Collana | IMF Working Papers |
| Soggetto topico |
Risk (Insurance)
Risk management - Econometric models Insurance Macroeconomics Industries: Financial Services Intelligence (AI) & Semantics Insurance Companies Actuarial Studies Formal and Informal Sectors Shadow Economy Institutional Arrangements Personal Income, Wealth, and Their Distributions Pension Funds Non-bank Financial Institutions Financial Instruments Institutional Investors Technological Change: Choices and Consequences Diffusion Processes Insurance & actuarial studies Finance Artificial intelligence Personal income Insurance companies Income |
| ISBN |
1-4623-8108-1
1-4527-2996-4 1-282-63669-3 9786613822871 1-4519-8808-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | ""Contents""; ""I. INTRODUCTION""; ""II. INSTITUTIONAL QUALITY AND KNIGHTISAN UNCERTAINTY: AN INTERPRETATION""; ""III. METHODOLOGY""; ""IV. REGRESSION RESULTS""; ""V. CONCLUSIONS""; ""REFERENCES"" |
| Record Nr. | UNINA-9910822787003321 |
|
Erbas S
|
||
| Washington, D.C. : , : International Monetary Fund, , 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
