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Value at Risk: Some estimations under stress periods - Tapa blanda

Lamaj, Erisa

 
9783659853371: Value at Risk: Some estimations under stress periods
Tapa blanda
ISBN 10: 3659853372 ISBN 13: 9783659853371
Editorial: LAP LAMBERT Academic Publishing, 2016

Sinopsis

The VaR is trying to find the answer of the most frequent question that every investor who has invested or considering to invest in risky asset ask: which is the most I can lose in this investment? According to the Basel Accord II banks are expected to use internal models for estimating their market risk and so the capital required to keep depends on VaR of their portfolio. This makes VaR the most important part of risk management techniques. Despite of its popularity and importance of VaR it has some weakness point such as Value at Risk do not give an accurate results when the returns are not Gaussian. The need to continuously innovate and improve the estimation of VaR has resulted in the use of Extreme Value Theory in risk analysis. Extreme Value Theory provides the necessary tools to analyze extreme movements when they are not Gaussian distributed.

"Sinopsis" puede pertenecer a otra edición de este libro.

Reseña del editor

The VaR is trying to find the answer of the most frequent question that every investor who has invested or considering to invest in risky asset ask: which is the most I can lose in this investment? According to the Basel Accord II banks are expected to use internal models for estimating their market risk and so the capital required to keep depends on VaR of their portfolio. This makes VaR the most important part of risk management techniques. Despite of its popularity and importance of VaR it has some weakness point such as Value at Risk do not give an accurate results when the returns are not Gaussian. The need to continuously innovate and improve the estimation of VaR has resulted in the use of Extreme Value Theory in risk analysis. Extreme Value Theory provides the necessary tools to analyze extreme movements when they are not Gaussian distributed.

Biografía del autor

Erisa Lamaj, MSc: Studied Finance and Banking at University of Rome Tor Vergata also completed a master in Credit Risk Management at La Sapienza University. Financial Analyst for renewable energy sector.

"Sobre este título" puede pertenecer a otra edición de este libro.

Editorial
LAP LAMBERT Academic Publishing
Año de publicación
2016
Idioma
Inglés
ISBN 10 
3659853372
ISBN 13 
9783659853371
Encuadernación
Tapa blanda
Número de páginas
96
Contacto del fabricante
no disponible
Persona responsable
no disponible