Econometric modeling of value-at-risk
Timotheos Angelidis and Stavros Degiannakis
| Year of publication: |
c 2009
|
|---|---|
| Authors: | Angelidis, Timotheos ; Degiannakis, Stavros |
| Publisher: |
New York : Nova Science Publishers |
| Subject: | Risikomaß | Risk measure | Risikomanagement | Risk management | Schätztheorie | Estimation theory | Ökonometrisches Modell |
| Description of contents: | Table of Contents [gbv.de] |
| Extent: | VI, 83 S. graph. Darst. |
|---|---|
| Series: | |
| Type of publication: | Book / Working Paper |
| Language: | English |
| Notes: | Includes index. - Literaturverz. S. [63] - 78 Value at risk -- Expected shortfall -- VaR and ES modeling -- Liquidity adjusted value-at-risk -- Backtesting value-at-risk. 0907 |
| ISBN: | 1-60741-040-0 ; 978-1-60741-040-9 |
| Classification: | Unternehmensführung ; Banken, Versicherungen |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003803434