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Viac informácií o knihe Modeling of extreme events and stress testing analysis

• Parametre knihy
• Anotácia kniha
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Anotácia knihy

In this book we estimated value at risk and return level using extreme value theory as an alternative mechanism to generate stress scenarios. The methodology is applied to S&P 500 Index and to dollar / euro exchange rate. Additionally, the estimation of a generalized extreme value distribution or a generalized pareto distribution combined with the mixing unconditional disturbances model is developed as a tool that can be used to create values for sensitivity test purpose.

Parametre knihy

Zaradenie knihy Knihy po anglicky Economics, finance, business & management Business & management Management & management techniques

• Celý názov: Modeling of extreme events and stress testing analysis
• Autor: Ronny Suarez
• Jazyk: Angličtina
• Väzba: Brožovaná
• Počet strán: 56
• EAN: 9783639240887
• ISBN: 363924088X
• ID: 06831742
• Nakladateľ: VDM Verlag
• Hmotnosť: 106 g
• Rozmery: 230 × 154 × 11 mm
• Dátum vydania: 02. March 2010

Obľúbené z iného súdka

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