Measuring Value at Risk using Copula Theory

Language: English

Published by Our Knowledge Publishing Okt 2023, 2023

6206528863 / 9786206528869

  • Softcover
  • New
See all details

Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, GermanyBuchWeltWeit Ludwig Meier e.K.

5-star seller

AbeBooks seller since January 11, 2012

Softcover

Condition: New

£ 37.86

£ 19.26 shipping 
Ships from Germany to U.S.A.

Quantity: 2 available

Add to basket
Free 30-day returns

Item description from seller

This item is printed on demand - it takes 3-4 days longer - Neuware -This work is devoted to value-at-risk estimation using the copula method. The first part explores extreme value theory. We describe risk modeling and asset volatility. The second part presents a GJR-GARCH version of copulas to analyze asymmetric dependence, measuring complex non-linear relationships among stock index returns. We present a VAR measurement method based on extreme value theory and copula theory. The results show that copula-based methods are better at modeling dependence structure and yield better risk estimates. 52 pp. Englisch.

Seller Inventory # 9786206528869

Title
Measuring Value at Risk using Copula Theory
Author
Samia Ben Messaoud
Publisher
Our Knowledge Publishing Okt 2023
Publication year
2023
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
6206528863
ISBN 13
9786206528869
Item weight
96 grams
Dimensions
220x150x4 mm

BuchWeltWeit Ludwig Meier e.K.

Bergisch Gladbach, Germany

5-star seller

AbeBooks seller since January 11, 2012

Shipping rates from Germany to U.S.A.

Item5 to 15 business days5 to 15 business days
First item£ 19.26£ 19.26
Delivery times are set by sellers and vary by carrier and location. Orders passing through Customs may face delays and buyers are responsible for any associated duties or fees. Sellers may contact you regarding additional charges to cover any increased costs to ship your items.

Payment methods

  • Visa
  • Mastercard
  • American Express
  • Apple Pay
  • Google Pay
  • Bank Wire Transfer
  • Check
  • Paypal

Seller's business information

BuchWeltWeit Ludwig Meier e.K.

Germany