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A comparison between advanced Value at Risk models and their backtesting in different portfolios

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Market Risk Analysis

: Parametric linear value at risk (VaR)models: normal, Student t and normal mixture and their expected tail loss (ETL); New formulae for VaR based on;

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Quantitative Financial Risk Management

A mathematical guide to measuring and managing financial risk. Our modern economy depends on financial markets. Yet financial;

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Market Risk Management For Hedge Funds / Druk 1

the range of Value-at-Risk (VaR) models used today, addressing the robustness of each model, and looking at new risk measures available to;

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Derivatives Pricing and Modeling

This edited volume will highlight recent research in derivatives modelling and markets in a post-crisis world across a number of dimensions;

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Monte Carlo Methods in Finance

. Ranging from pricing more complex derivatives, such as American and Asian options, to measuring Value at Risk, or modelling complex market;

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Risk Management And Value

Laureate in Economics, as a high level one. The first half of the book examines ways to manage risk and compute value-at-risk for exchange risk;

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Value At Risk

, professionals can depend on Value at Risk for comprehensive, authoritative counsel on VAR, its application, and its results-and to keep ahead of the;

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Risk Budgeting

, using quantitative risks measurements, including VaR, to solve the problem. VaR, or value at risk, is a concept first introduced by bank dealers;

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Modern Multi-Factor Analysis of Bond Portfolios

relative to traditional techniques and to present empirical evidence of such an added value. Beginning with a description of the simplest models;

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Financial Hedging

recalibrate their portfolios at a fixed temporal horizon are proposed. The authors also show how the Markov assumption can be used to forecast the;

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Market Risk Analysis Four Volume Boxset

Monte Carlo VaR models to increasingly complex portfolios. Starting with simple positions, after a few chapters we apply value-at-risk models to;

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Introduction To Analysis Of Financial Data With R

risk management, including value at risk and conditional value at risk * Econometric and statistical methods for risk assessment based on;

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Macrofinancial Risk Analysis

, the risk of default of different sectors on their outstanding debt obligations quantified, and the value ex-ante of guarantees to private;

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Financial Signal Processing and Machine Learning

The modern financial industry has been required to deal with large and diverse portfolios in a variety of asset classes often with limited;

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Managing Credit Risk in Corporate Bond Portfolios

and manage the risks of a corporate bond portfolio against its benchmark. This comprehensive guide explores a wide range of topics surrounding;

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Rating Based Modeling of Credit Risk

macroeconomics conditions or the business cycle. These changes in migration behavior may have a substantial impact on the value-at-risk (VAR) of a credit;

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Derivatives, Risk Management And Value

This book covers fundamental concepts in financial markets and asset pricing such as hedging, arbitrage, speculation in different markets;

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Risk Management And Shareholders' Value In Banking

measurement of the risks facing a bank, it defines criteria and rules to support a corporate policy aimed at maximizing shareholders' value. Parts I;

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Derivatives and Internal Models

continues with this philosophy covering new and more advanced topics including terms structure models, second-order value at risk, time series;

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Could investors obtain returns using analysts' recommendations?

obtain significant positive risk-adjusted abnormal returns constructing a hedge portfolio, buying the best-recommended assets and simultaneously;

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Loss Models

discussions of risk modeling and risk measures, including Tail-Value-at-Risk. Loss Models: Further Topics contains additional material to accompany;

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Value Based Working Capital Management

organizations with varying levels of risk. This work looks at the motives and criteria for decision-making by entrepreneurs in their efforts to protect;

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Value-Based Working Capital Management

organizations with varying levels of risk. This work looks at the motives and criteria for decision-making by entrepreneurs in their efforts to protect;

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Asset Liability Management for Individual Investors

Conditional Value-at-Risk and the Shortfall-Probability. The book furthermore introduces an ALM scenario generation model to generate consistent;

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Writing Portfolio Activities Kit

with real-life models, creating and evaluating their own writing portfolios, and learning to see writing, grammar, and literature as;

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Financial Risk Forecasting

in risk and models to forecast risk are discussed, especially volatility, value-at-risk and expected shortfall. The focus is both on risk;

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