عنوان

The VaR implementation handbook

شابک

9780071615136 (hbk.) (acid-free paper.)

زبان متن نوشتاري يا گفتاري و مانند آن

لاتين

نام نخستين پديدآور

Greg N. Gregoriou, editor

عنوان اصلي

The VaR implementation handbook

محل نشرو پخش و غیره

New York

نام ناشر، پخش کننده و غيره

McGraw-Hill,

تاریخ نشرو بخش و غیره

c2009

نام خاص و کميت اثر

xxx, 528 p.

عنوان فروست

[McGraw-Hill finance & investing]

متن يادداشت

مرجع به حساب نمي آيد

متن يادداشت

Includes bibliographical references and index.

متن يادداشت

Calculating VaR for hedge funds / Monica Billio, Mila Getmansky, and Loriana Pelizzon -- Efficient VaR : using past forecast performance to generate improved VaR forecasts / Kevin Dowd and Carlos Blanco -- Applying VaR to hedge fund trading strategies : limitations and challenges / R. McFall Lamm Jr. -- Cash flow at risk : linking strategy and finance / Ulrich Hommel -- Plausible operational value-at-risk calculations for management decision making / Wilhelm Kross, Ulrich Hommel, and Martin Wiethuechter -- Value-at-risk performance criterion : a performance measure for evaluating value-at-risk models / Zeno Adams and Roland Fuجess -- Explaining cross-sectional differences in credit default swap spreads : an alternative approach using value at risk / Bastian Breitenfellner and Niklas Wagner -- Some advanced approaches to VaR calculation and measurement / Francجسois-Eجuric Racicot and Raymond Theجuoret -- Computational aspects of value at risk / Germaجun Navarro and Ignacio Olmeda -- Value-at-risk-based stop-loss trading / Bernd Scherer -- Modeling portfolio risks with time-dependent default rates in venture capital / Andreas Kemmerer, Jan Rietzschel, and Henry Schoenball -- Risk aggregation and computation of total economic capital / Peter Grundke -- Value at risk for high-dimensional portfolios : a dynamic grouped t-copula approach / Dean Fantazzini -- A model to measure portfolio risks in venture capital / Andreas Kemmerer -- Risk measures and their applications in asset man

عنصر شناسه ای

Financial risk management

عنصر شناسه ای

Financial risk management, Simulation methods

عنصر شناسه ای

Asset-liability management

عنصر شناسه ای

Asset-liability management, Simulation methods

عنصر شناسه ای

Investeringen., gtt

عنصر شناسه ای

Risicoanalyse., gtt

عنصر شناسه ای

Beleggingen., gtt

عنصر شناسه ای

Value at Risk, stw

عنصر شناسه ای

Risikomanagement, stw

عنصر شناسه ای

Portfolio-Management, stw

عنصر شناسه ای

Bank, stw

عنصر شناسه ای

Versicherung, stw

شماره رده

عنصر شناسه اي

مولف

عنصر شناسه اي

Gregoriou, Greg N.,1956-