Mesure de la Valeur à Risque par la Théorie des Copules : Mesure de risque de portefeuille pendant la période de crise financière
Language: French
Published by Éditions Universitaires Européennes, 2023
- Softcover
- New
Seller: AHA-BUCH GmbH, Einbeck, GermanyAHA-BUCH GmbH
AbeBooks seller since August 14, 2006
Condition: New
£ 42.87
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Add to basketItem description from seller
nach der Bestellung gedruckt Neuware - Printed after ordering - Ce travail est consacré à l'estimation de la valeur à risque par la méthode de copule. La première partie est une exploration de la théorie des valeurs extrêmes. Nous décrivons la modélisation du risque et la volatilité des actifs. La deuxième partie présente une version GJR-GARCH des copules pour analyser la dépendance asymétrique, qui mesure les relations complexes non-linéaires parmi les rendements des indices boursiers. Nous présentons une méthode de mesure de VAR basées sur la théorie des valeurs extrêmes et la théorie des copules. Les résultats trouvés montrent que les méthodes basées sur les copules permettent de mieux modéliser la structure de dépendance et donnent des estimations des risques meilleurs.
Seller Inventory # 9786203441864
- Title
- Mesure de la Valeur à Risque par la Théorie des Copules : Mesure de risque de portefeuille pendant la période de crise financière
- Author
- Samia Ben Messaoud
- Publisher
- Éditions Universitaires Européennes
- Publication year
- 2023
- Condition
- Neu
- Binding
- Taschenbuch
- Language
- French
- ISBN 10
- 6203441864
- ISBN 13
- 9786203441864
- Item weight
- 96 grams
- Dimensions
- 220x150x4 mm
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