Market risk analysis Volume IV, Value-at-risk-models Volume IV, Value-at-risk-models
Written by leading market risk academic, Professor Carol Alexander, Value-at-Risk Models forms part four of the Market Risk Analysis four volume set. Building on the three previous volumes this book provides by far the most comprehensive, rigorous and detailed treatment of market VaR models. It rest...
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| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Chichester, England ; Hoboken, NJ :
Wiley
2008.
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| Edición: | 1st edition |
| Colección: | The Wiley Finance Series
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| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009627858406719 |
| Sumario: | Written by leading market risk academic, Professor Carol Alexander, Value-at-Risk Models forms part four of the Market Risk Analysis four volume set. Building on the three previous volumes this book provides by far the most comprehensive, rigorous and detailed treatment of market VaR models. It rests on the basic knowledge of financial mathematics and statistics gained from Volume I, of factor models, principal component analysis, statistical models of volatility and correlation and copulas from Volume II and, from Volume III, knowledge of pricing and hedging financial instruments and o |
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| Notas: | Description based upon print version of record. |
| Descripción Física: | 1 online resource (493 p.) |
| Bibliografía: | Includes bibliographical references and index.es. |
| ISBN: | 9781282349483 9786612349485 9780470745076 |
