Modélisation de la Value at Risk: une évaluation du modèle RISKMETRICS : Développements récents de l''approche analytique
Language: French
Published by Éditions Universitaires Européennes, 2010
- Softcover
- New
Seller: AHA-BUCH GmbH, Einbeck, GermanyAHA-BUCH GmbH
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nach der Bestellung gedruckt Neuware - Printed after ordering - Il existe de nombreuses techniques de modélisations de la Value at risk utilisées par les organismes financiers, mais l'approche analytique RISKMETRICS, est en partie à l'origine du développement de cette mesure. Dans cet ouvrage, nous procédons à une évaluation du modèle RISKMETRICS.Ses limites nous conduisent à proposer, dans un premier temps, une méthodologie RISKMETRICS spécifique à chaque série. Nous montrons la non-robustesse de ces constructions et la nécessité de recourir à des équations où la constante de lissage varie au cours du temps. Une analyse plus approfondie de la structure des actifs nous permet, dans un deuxième temps, d'envisager des modèles hétéroscédastiques saisonniers qui prennent en compte les spécificités de chaque série. Nous les comparons au benchmark RISKMETRICS en recourant aux critères statistiques usuels et aux mesures de validation recommandées par les instances de réglementation. Nous montrons leur supériorité dans certaines circonstances (selon la probabilité d'estimation de la VaR et la position longue ou courte de l'investisseur).…
Seller Inventory # 9786131536106
- Title
- Modélisation de la Value at Risk: une évaluation du modèle RISKMETRICS : Développements récents de l''approche analytique
- Author
- Virginie Terraza
- Publisher
- Éditions Universitaires Européennes
- Publication year
- 2010
- Condition
- Neu
- Binding
- Taschenbuch
- Language
- French
- ISBN 10
- 6131536104
- ISBN 13
- 9786131536106
- Item weight
- 602 grams
- Dimensions
- 220x150x25 mm
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