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...
| Autor principal: | |
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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 |
Tabla de Contenidos:
- Market Risk Analysis Volume IV; Contents; List of Figures; List of Tables; List of Examples; Foreword; Preface to Volume IV; IV.1 Value at Risk and Other Risk Metrics; IV.2 Parametric Linear VaR Models; IV.3 Historical Simulation; IV.4 Monte Carlo VaR; IV.5 Value at Risk for Option Portfolios; IV.6 Risk Model Risk; IV.7 Scenario Analysis and Stress Testing; IV.8 Capital Allocation; References; Index
