Поиск по каталогу |
(строгое соответствие)
|
- Профессиональная
- Научно-популярная
- Художественная
- Публицистика
- Детская
- Искусство
- Хобби, семья, дом
- Спорт
- Путеводители
- Блокноты, тетради, открытки
Measuring market risk with conditional extreme value theory.
В наличии
Местонахождение: Алматы | Состояние экземпляра: новый |
Бумажная
версия
версия
Автор: James Adjei Barimah
ISBN: 9786202007238
Год издания: 2019
Формат книги: 60×90/16 (145×215 мм)
Количество страниц: 76
Издательство: LAP LAMBERT Academic Publishing
Цена: 23777 тг
Положить в корзину
Позиции в рубрикаторе
Сферы деятельности:Код товара: 228755
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: Risk management in financial institutions has grown in importance over the past five decades. This has become necessary to ensure the soundness and stability of the financial system which has become interconnected. An important innovation aimed at ensuring effective financial risk management and (later) convergence towards a common financial risk management practice has been the establishment of the Basel Committee on Banking Supervision (BCBS). The BCBS was established in 1974 by the Group of Ten countries in response to disruptions in international financial markets. The market had witnessed the collapse of the Bretton Woods system of managed exchange rates in 1973 and the Franklin National Bank of New York in 1974 as well as other events. The BCBS has the mandate to strengthen the regulation, supervision and practices of banks in member countries with the purpose of enhancing financial stability (BCBS, 2013). Since 1975, the BCBS occasionally publishes regulations for which banks in member countries1 subscribe. Market risk has been an important aspect of the institution’s regulatory framework since 1996.
Ключевые слова: backtesting, Garch, Historical simulation, Market Risk, Value-at-Risk, Conditional extreme value theory, Double bootstrap