Semiparametric Estimation of Value-at-risk
Author | : Jianqing Fan |
Publisher | : |
Total Pages | : 64 |
Release | : 2003 |
Genre | : Parameter estimation |
ISBN | : |
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Author | : Jianqing Fan |
Publisher | : |
Total Pages | : 64 |
Release | : 2003 |
Genre | : Parameter estimation |
ISBN | : |
Author | : Pietro Penza |
Publisher | : John Wiley & Sons |
Total Pages | : 324 |
Release | : 2001 |
Genre | : Business & Economics |
ISBN | : 9780471393139 |
"This book, Measuring Market Risk with Value at Risk by Vipul Bansal and Pietro Penza, has three advantages over earlier works on the subject. First, it takes a decidedly global approach-an essential ingredient for any comprehensive work on market risk. Second, it ties the scientifically grounded, yet intuitively appealing, VaR measure to earlier, more idiosyncratic measures of market risk that are used in specific market environs (e.g., duration in fixed income). Finally, it encompasses all of the accepted approaches to calculating a VaR measure and presents them in a clearly explained fashion with supporting illustrations and completely worked-out examples." -from the Foreword by John F. Marshall, PhD, Principal, Marshall, Tucker & Associates, LLC "Measuring Market Risk with Value at Risk offers a much-needed intellectual bridge, a translation from the esoteric realm of mathematical finance to the domain of financial managers who seek guidance in applying developments from this important field of research as well as that of MBA-level graduate instruction. I believe the authors have done a commendable job of providing a carefully crafted, highly readable, and most useful work, and intend to recommend it to all those involved in business risk management applications." -Anthony F. Herbst, PhD, Professor of Finance and C.R. and D.S. Carter Chair, The University of Texas, El Paso and Founding editor of The Journal of Financial Engineering (1991-1998) "Finally there's a book that strikes a balance between rigor and application in the area of risk management in the banking industry. This innovative book is a MUST for both novices and professionals alike." -Robert P. Yuyuenyongwatana, PhD, Associate Professor of Finance, Cameron University "Measuring Market Risk with Value at Risk is one of the most complete discussions of this emerging topic in finance that I have seen. The authors develop a logical and rigorous framework for using VaR models, providing both historical references and analytical applications." -Kevin Wynne, PhD, Associate Professor of Finance, Lubin School of Business, Pace University
Author | : Cormac Butler |
Publisher | : Financial Times/Prentice Hall |
Total Pages | : 264 |
Release | : 1999 |
Genre | : Business & Economics |
ISBN | : 9780273637523 |
Value at Risk (VAR) is rapidly emerging as the dominant methodology for estimating precisely how much money is at risk each day in the financial markets. This book provides an objective view of VAR, analyzing its pitfalls and benefits.
Author | : Nigel Da Costa Lewis |
Publisher | : CRC Press |
Total Pages | : 243 |
Release | : 2012-05-29 |
Genre | : Business & Economics |
ISBN | : 1439816182 |
The consequences of taking on risk can be ruinous to personal finances, professional careers, corporate survivability, and even nation states. Yet many risk managers do not have a clear understanding of the basics. Requiring no statistical or mathematical background, The Fundamental Rules of Risk Management gives you the knowledge to successfully handle risk in your organization. The book begins with a deep investigation into the behavioral roots of risk. Using both historical and contemporary contexts, author Nigel Da Costa Lewis carefully details the indisputable truths surrounding many of the behavioral biases that induce risk. He exposes the fallacy of the wisdom of experts, explains why you cannot rely on regulators, outlines the characteristics of the "glad game," and demonstrates how high intelligence or lack thereof can lead to loss of hard-earned wealth. He also discusses the weaknesses and failures of modern risk management. Moving on to elements often overlooked by risk managers, Dr. Lewis traces the link between corporate governance and risk management. He then covers core lessons surrounding the role of risk managers as well as the difficult subject of integrated, single lens analysis of risk. The book also explores aspects of spreadsheet risk and draws on lessons learned in the information systems and software engineering communities to provide guidance on selecting the right risk management system. It concludes with a discussion on the most dominant of risk measures—value at risk. Having a clear understanding about risk separates successful professionals, companies, and economies from history’s forgotten failures. Through examples and case studies, this thought-provoking book shows how the rules of risk can work to protect and enhance investor value.
Author | : Timotheos Angelidis |
Publisher | : |
Total Pages | : 0 |
Release | : 2009 |
Genre | : Risk management |
ISBN | : 9781607410409 |
Recently risk management has become a standard prerequisite for all financial institutions. Value-at-Risk is the main tool of reporting to the bank regulators the risk that the financial institutions face. This book provides a selective survey of the risk management techniques.
Author | : Torben Gustav Andersen |
Publisher | : Springer Science & Business Media |
Total Pages | : 1045 |
Release | : 2009-04-21 |
Genre | : Business & Economics |
ISBN | : 3540712976 |
The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.
Author | : Michael R. Kosorok |
Publisher | : Springer Science & Business Media |
Total Pages | : 482 |
Release | : 2007-12-29 |
Genre | : Mathematics |
ISBN | : 0387749780 |
Kosorok’s brilliant text provides a self-contained introduction to empirical processes and semiparametric inference. These powerful research techniques are surprisingly useful for developing methods of statistical inference for complex models and in understanding the properties of such methods. This is an authoritative text that covers all the bases, and also a friendly and gradual introduction to the area. The book can be used as research reference and textbook.
Author | : João Lita da Silva |
Publisher | : Springer Science & Business Media |
Total Pages | : 465 |
Release | : 2013-06-14 |
Genre | : Mathematics |
ISBN | : 3642349048 |
This volume of the Selected Papers from Portugal is a product of the Seventeenth Congress of the Portuguese Statistical Society, held at the beautiful resort seaside city of Sesimbra, Portugal, from September 30 to October 3, 2009. It covers a broad scope of theoretical, methodological as well as application-oriented articles in domains such as: Linear Models and Regression, Survival Analysis, Extreme Value Theory, Statistics of Diffusions, Markov Processes and other Statistical Applications.
Author | : Rolf-Dieter Reiss |
Publisher | : Springer Science & Business Media |
Total Pages | : 516 |
Release | : 2007-06-21 |
Genre | : Business & Economics |
ISBN | : 3764372303 |
This is a self-contained introduction to parametric modeling, exploratory analysis and statistical interference for extreme values, as used in disciplines from hydrology to finance to environmental science. Updated and expanded by 100 pages.
Author | : Simona Roccioletti |
Publisher | : Springer |
Total Pages | : 145 |
Release | : 2015-12-04 |
Genre | : Business & Economics |
ISBN | : 365811908X |
In this book Simona Roccioletti reviews several valuable studies about risk measures and their properties; in particular she studies the new (and heavily discussed) property of "Elicitability" of a risk measure. More important, she investigates the issue related to the backtesting of Expected Shortfall. The main contribution of the work is the application of "Test 1" and "Test 2" developed by Acerbi and Szekely (2014) on different models and for five global market indexes.