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by Carol Alexander

Author: Carol Alexander
Subcategory: Business & Finance
Language: English
Publisher: Wiley; Volume IV edition (February 9, 2009)
Pages: 492 pages
Category: Other
Rating: 4.8
Other formats: docx lrf lrf txt

Value-At-Risk Models. 3 ETL in the Normal Mixture Linear VaR Model.

Value-At-Risk Models. 497 Pages · 2009 · 2. 3 MB · 125 Downloads ·English. Market Risk Analysis - Practical Financial Econometrics. 73 MB·4,167 Downloads. of the Equally Weighted Moving Average Method. 117 All the prerequisite material is covered Market Risk. Market Risk Analysis Vol. I. alue-At-Risk Models. 23 MB·1,398 Downloads.

by Carol Alexander (Author). ISBN-13: 978-0470997994. The exposition starts at an elementary level but,as in all the other volumes, the pedagogical approach accompaniedby numerous interactive Excel spreadsheets allows readers toexperience the application of parametric linear, and Monte Carlo VaR models to increasingly complexportfolios.

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бесплатно, без регистрации и без смс. Written by leading market risk academic, Professor Carol Alexander, Value-at-Risk Models forms part four of the Market Risk Analysis four volume set. Building on the three previous volumes this book provides by . . Building on the three previous volumes this book provides by far the most comprehensive, rigorous and detailed treatment of market VaR models.

Автор: Alexander Название: Market Risk Analysis - Value-at-Risk Models, Volume IV Издательство: Wiley .

The four volumes of Market Risk Analysis illustrate virtually every concept or formula with a practical, numerical example or a longer, empirical case study.

Its aim is to define a syllabus for education in market risk analysis, from the basics to the most advanced level of understanding we have today, to set standards for the profession of market risk analyst, and to provide the means whereby the required skills may be attained. The four volumes of Market Risk Analysis illustrate virtually every concept or formula with a practical, numerical example or a longer, empirical case study. In total there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies.

enquiries): cs-booksy. uk Visit our Home Page on ww. iley.

Written by leading market risk academic, Professor Carol Alexander .

All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study.

Written by leading market risk academic, Professor Carol Alexander, Value�at�Risk Models forms part four of the Market Risk Analysis four volume set. Building on the three previous volumes this book provides by far the most comprehensive, rigorous and detailed treatment o.

Written by leading market risk academic, Professor Carol Alexander,Value-at-Risk Models forms part four of the Market RiskAnalysis four volume set. Building on the three previousvolumes this book provides by far the most comprehensive, rigorousand detailed treatment of market VaR models. It rests on the basicknowledge of financial mathematics and statistics gained fromVolume I, of factor models, principal component analysis,statistical models of volatility and correlation and copulas fromVolume II and, from Volume III, knowledge of pricing and hedgingfinancial instruments and of mapping portfolios of similarinstruments to risk factors. A unifying characteristic of theseries is the pedagogical approach to practical examples that arerelevant to market risk analysis in practice.

All together, the Market Risk Analysis four volume setillustrates virtually every concept or formula with a practical,numerical example or a longer, empirical case study. Across allfour volumes there are approximately 300 numerical and empiricalexamples, 400 graphs and figures and 30 case studies many of whichare contained in interactive Excel spreadsheets available from thethe accompanying CD-ROM . Empirical examples and case studiesspecific to this volume include:

Parametric linear value at risk (VaR)models: normal, Student tand normal mixture and their expected tail loss (ETL);New formulae for VaR based on autocorrelated returns;Historical simulation VaR models: how to scale historical VaRand volatility adjusted historical VaR;Monte Carlo simulation VaR models based on multivariate normaland Student t distributions, and based on copulas;Examples and case studies of numerous applications to interestrate sensitive, equity, commodity and internationalportfolios;Decomposition of systematic VaR of large portfolios intostandard alone and marginal VaR components;Backtesting and the assessment of risk model risk;Hypothetical factor push and historical stress tests, andstress testing based on VaR and ETL.