Empirical Risk Modeling of Financial Time Series using Value at Risk

by Nyamekye, Kofi
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Nyamekye, Kofi Empirical Risk Modeling of Financial Time Series using Value at Risk
Nyamekye, Kofi - Empirical Risk Modeling of Financial Time Series using Value at Risk

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Description


The aim of this book is to highlight and illustrate selected quantitative techniques for estimating financial risk. The first module in risk assessment is concerned with the risk measure used, whereas the second module is based on the risk estimation technique. The process of risk assessment involves the Value at Risk, popularly known as VaR with some corresponding risk estimators; Expected Shortfall (ES), the Extreme Value Theory (EVT) and the Generalized Pareto Distribution (GPD). The quality of the risk estimation approach with its corresponding techniques studied shall be tested for with real data. Numerical results and programming code shall be provided for the comparative estimators by the R statistical software.

Contributors

Author:
Nyamekye, Kofi
Nyamekye, Joyce

Further information

Media Type:
Taschenbuch
Publisher:
LAP Lambert Academic Publishing
Biography Artist:

Kofi Nyamekye, is a lecturer at the University of Professional studies, Accra. He schooled in Sweden (MSc Financial Engineering).Kofi has worked with the Nordic African Institute, where he worked as a research assistant,Joyce is a data Analyst at Sinappi aba (Bank).She also studied Msc Financial Engineering. This is her thesis work. Paby assisted.
Language:
Englisch
Number of Pages:
52

Master Data

Product Type:
Paperback book
Release date:
05 May 2015
Package Dimensions:
0.229 x 0.152 x 0.003 m; 0.091 kg
GTIN:
09783659706752
DUIN:
PCICRG5BF4C
Manufacturer Part Number:
42932977
£24.98
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