-
Anglický jazyk
Measuring Value at Risk using Copula Theory
Autor: Samia Ben Messaoud
This work is devoted to value-at-risk estimation using the copula method. The first part explores extreme value theory. We describe risk modeling and asset volatility. The second part presents a GJR-GARCH version of copulas to analyze asymmetric dependence,... Viac o knihe
Na objednávku
40.68 €
bežná cena: 45.20 €
O knihe
This work is devoted to value-at-risk estimation using the copula method. The first part explores extreme value theory. We describe risk modeling and asset volatility. The second part presents a GJR-GARCH version of copulas to analyze asymmetric dependence, measuring complex non-linear relationships among stock index returns. We present a VAR measurement method based on extreme value theory and copula theory. The results show that copula-based methods are better at modeling dependence structure and yield better risk estimates.
- Vydavateľstvo: Our Knowledge Publishing
- Rok vydania: 2023
- Formát: Paperback
- Rozmer: 220 x 150 mm
- Jazyk: Anglický jazyk
- ISBN: 9786206528869
