Verwandte Artikel zu Value at Risk: Some estimations under stress periods

Value at Risk: Some estimations under stress periods - Softcover

Lamaj, Erisa

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

Inhaltsangabe

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.

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Über die Autorin bzw. den 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.

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Verlag
LAP LAMBERT Academic Publishing
Erscheinungsdatum
2016
Sprache
Englisch
ISBN 10 
3659853372
ISBN 13 
9783659853371
Einband
Taschenbuch
Anzahl der Seiten
96
Kontakt zum Hersteller
Nicht verfügbar
Verantwortliche Person
SIA OmniScriptum Publishing
customerservice@vdm-vsg.de

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