A comparison between advanced Value at Risk models and their backtesting in different portfolios
Language: English
Published by GRIN Verlag Dez 2012, 2012
- Softcover
- New
Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, GermanyBuchWeltWeit Ludwig Meier e.K.
AbeBooks seller since January 11, 2012
Condition: New
£ 42.35
Quantity: 2 available
Add to basketItem description from seller
This item is printed on demand - it takes 3-4 days longer - Neuware -Master's Thesis from the year 2012 in the subject Business economics - Miscellaneous, grade: 1, Fachhochschule des bfi Wien GmbH, course: Riskmanagement, language: English, comment: gewann den 2. Platz beim CFA Austria Prize , abstract: This thesis analyses three VaR models in detail. To begin with, there is a short description of the theoretical background of the models. Next, four different backtests are performed on two different portfolios for each of the three models. The source code used for the implementation is available in the appendix. The main part will deal with the interpretation of the backtesting results. Each model will be compared with the same backtests and dimensionality, which allows the comparison of models with each other. The main outcome of this backtest is the knowledge as to how a model should be calibrated and how robust a model is. In a validation procedure, the author selects that calibration which yields the best results for each model. 92 pp. Englisch.…
Seller Inventory # 9783656319009
- Title
- A comparison between advanced Value at Risk models and their backtesting in different portfolios
- Author
- Christian Steinlechner
- Publisher
- GRIN Verlag Dez 2012
- Publication year
- 2012
- Condition
- Neu
- Binding
- Taschenbuch
- Language
- English
- ISBN 10
- 3656319006
- ISBN 13
- 9783656319009
- Item weight
- 146 grams
- Dimensions
- 210x148x7 mm
"Synopsis" may belong to another edition of this title.
From the Back Cover
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BuchWeltWeit Ludwig Meier e.K.
Bergisch Gladbach, Germany
AbeBooks seller since January 11, 2012
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