Value-at-Risk -- Volatilität und Interdependenz -- Neuere Value-at-Risk Ansätze -- Empirische Vergleichsstudie … Value-at-Risk ist in diesem Zusammenhang von großer Bedeutung. Jens Fricke untersucht die theoretischen Grundlagen der … verschiedenen Value-at-Risk Ansätze. Besonderen Wert legt er dabei auf die Darlegung neuerer Ansätze sowie die konsequente …

This book presents methodologies for the Bayesian estimation of GARCH models and their application to financial risk … paradigm for inference. The next three chapters describe the estimation of the GARCH model with Normal innovations and the … different risk perspectives can select their optimal Value at Risk Bayesian point estimate and documents that the differences …

Portfoliotheorie -- Arbitragefreie Ein-Perioden-Modelle und CAPM -- Value at Risk -- Kohärente Risikomaße und der … Rendite versprechen. Risiko wird hier definiert als die Standardabweichung der Portfoliorendite. Für arbitragefreie Ein … Value at Risk vorgestellt, das den größten Verlust eines Portfolios quantifiziert, der mit einer vorgegebenen …

The bulk of this volume deals with the four main aspects of risk management: market risk, credit risk, risk management … risk management to diverse business environments. Included are traditional market and credit risk management models such as …

This is the first book to introduce the major quantitative tools in risk management taking financial investments and … selection theory from the point of view of risk control, and methods for risk control with new and popular risk measures such as … VaR (Value-at-Risk) and CVaR (Conditional VaR). The book also introduces a new theory for risk management in more general …

This book is a guide to asset and risk management from a practical point of view. It is centered around two questions … they should not? - How do investors deal with such crises in terms of their risk measurement and management and, as a … market anomalies and historical crashes. It is intended to serve as a comprehensive introduction to asset and risk management …

Theoretical Background -- Alternative Approaches in Portfolio Management -- Minimum Risk Portfolios -- Risk Budgeting …Risk budgeting models set risk diversification as objective in portfolio allocation and are mainly promoted from the … asset management industry. Albina Unger examines the portfolios based on different risk measures in several aspects from the …

This book provides a quantitative overview of corporate risk management for both financial and non …-financial organisations. It systematically explores a range of important risks, including interest rate risk, equity risk, commodity price … risk, credit risk management, counterparty risk, operational risk, liquidity risk, market risk, derivative credit risk and …

research university.-Questions of top management to risk management.- Estimation of market resiliency from high-frequency micex … of market risk: from Basel I to Basel III -- Belarusian banking system: market risk factors -- The psychological aspects … of human interactions through trading and risk management process -- Options: risk reducing or creating?.- Hierarchical …