Measuring Value at Risk using Copula Theory

Language: English

Published by Our Knowledge Publishing Okt 2023, 2023

6206528863 / 9786206528869

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Seller: buchversandmimpf2000, Emtmannsberg, BAYE, Germanybuchversandmimpf2000

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Softcover

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This item is printed on demand - Print on Demand Titel. 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.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 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

buchversandmimpf2000

Emtmannsberg, BAYE, Germany

5-star seller

AbeBooks seller since January 23, 2017

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Impressum Thorsten Retsch Buchversand Mimpf2000 Oberölschnitz 16 95517 Emtmannsberg Deutschland Telefon: 09209-2023188 Email: mimpf2000@online.de USt-ID-Nr.: DE 235096871 Wir führen gebrauchte Bücher aus allen Sparten der Literatur

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