Поиск по каталогу |
(строгое соответствие)
|
- Профессиональная
- Научно-популярная
- Художественная
- Публицистика
- Детская
- Искусство
- Хобби, семья, дом
- Спорт
- Путеводители
- Блокноты, тетради, открытки
Evaluation of Value at Risk Models. The new science of Market Risk Management
В наличии
Местонахождение: Алматы | Состояние экземпляра: новый |
Бумажная
версия
версия
Автор: P.A. Naidu
ISBN: 9783659483769
Год издания: 2013
Формат книги: 60×90/16 (145×215 мм)
Количество страниц: 140
Издательство: LAP LAMBERT Academic Publishing
Цена: 36698 тг
Положить в корзину
Позиции в рубрикаторе
Сферы деятельности:Код товара: 128122
Способы доставки в город Алматы * комплектация (срок до отгрузки) не более 2 рабочих дней |
Самовывоз из города Алматы (пункты самовывоза партнёра CDEK) |
Курьерская доставка CDEK из города Москва |
Доставка Почтой России из города Москва |
Аннотация: This book gives an overview of evaluation of the most widespread Value at Risk (VaR)Models in use in most of risk management departments across the financial industry.Value at Risk (VaR) has become the standard measure that financial analysts use to quantify market risk. VaR is defined as the maximum potential change in value of a portfolio of financial instruments with a given probability over a certain horizon. VaR measures can have many applications, such as in risk management, to evaluate the performance of risk takers and for regulatory requirements, and hence it is very important to develop methodologies that provide accurate estimates.The main objective of this book is to survey the most popular univariate VaR methodologies, paying particular attention to their underlying assumptions. The great popularity that this instrument has achieved is essentially due to its conceptual simplicity: VaR reduces the (market) risk associated with any portfolio to just one number, the loss associated to a given probability. VaR can also be applied to governance of endowments, trusts, and pension plans. Essentially trustees adopt portfolio VaR metrics for the entire pooled account.
Ключевые слова: Risk Management