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Econometric Modeling of Value at Risk

Recently risk management has become a standard prerequisite for all financial institutions. Value-at-Risk is the main tool of reporting to;

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Empirical Risk Modeling of Financial Time Series using Value at Risk

of risk assessment involves the Value at Risk, popularly known as VaR with some corresponding risk estimators; Expected Shortfall (ES), the;

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Risk Modeling for Determining Value and Decision Making

Determining Value and Decision Making presents comprehensive examples of risk/uncertainty analyses from a broad range of applications. Decision;

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Risk Modeling for Determining Value and Decision Making

Determining Value and Decision Making presents comprehensive examples of risk/uncertainty analyses from a broad range of applications. Decision;

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Extreme Value Modeling and Risk Analysis

Extreme Value Modeling and Risk Analysis: Methods and Applications presents a broad overview of statistical modeling of extreme events;

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Nonlinear Econometric Modeling in Time Series Analysis

Nonlinear Econometric Modeling in Time Series presents the more recent literature on nonlinear time series. Specific topics covered with;

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Econometric Methods And Their Applications In Finance, Macro And Related Fields

The volume aims at providing an outlet for some of the best papers presented at the 15th Annual Conference of the African Econometric;

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Modeling Energy Demand using Nonparametric and Extreme Value Theory

estimation of value at risk. Value at risk is chosen in this book as it is extensively used in practice.This book will be a valuable reference for;

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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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Dynamic Econometric Modeling

volume comprise the proceedings of the third of a conference series entitled International Symposia in Economic Theory and Econometrics. This;

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Bubble Value At Risk

did much to debunk the much touted powers of Value at Risk (VaR) as a risk metric. Unlike most authors on VaR who focus on what it can do;

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Advances in Heavy Tailed Risk Modeling

ADVANCES IN HEAVY TAILED RISK MODELING A cutting-edge guide for the theories, applications, and statistical methodologies essential to;

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Operational Risk

Discover how to optimize business strategies from both qualitative and quantitative points of view Operational Risk: Modeling Analytics;

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New Methods in Fixed Income Modeling

and econometric developments in finance, it analyzes the hedging securities and structured instruments that are offered by banks, since recent;

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Econometric Modeling

Econometric Modeling provides a new and stimulating introduction to econometrics, focusing on modeling. The key issue confronting empirical;

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Financial Econometric Modeling

Financial econometrics brings financial theory and econometric methods together with the power of data to advance understanding of the;

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Credit Risk Management In and Out of the Financial Crisis

new technology. This book is a complete update to Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms, reflecting;

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The VaR Modeling Handbook

Value-at-Risk (VaR) is a powerful toolfor assessing market risk in real time-a critical insight when making trading andhedging decisions;

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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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Asset-Liability and Liquidity Management

The principle of economic value of equity and value-at-risk The principle of net interest income and earnings-at-risk Liquidity risk Funds;

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Modeling of extreme events and stress testing analysis

In this book we estimated value at risk and return level using extreme value theory as an alternative mechanism to generate stress;

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Interest Rate Risk Modeling

companion CD-ROM contain numerous formulas and programming tools that allow readers to better model risk and value fixed income securities. This;

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Firm Valuation and Asymmetric Foreign Exchange Exposure

, natural hedges, and derivatives, in a complementary and value maximizing way. Estimation of FX exposures with linear and non-linear econometric;

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Operational Risk

operational risk. The variety of approaches used to model operational losses. Value-at-Risk and its role in quantifying and managing operational risk;

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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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Digital Asset Valuation and Cyber Risk Measurement

Digital Asset Valuation and Cyber Risk Measurement: Principles of Cybernomics is a book about the future of risk and the future of value;

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Quantitative Modeling of Operational Risk in Finance and Banking Using Possibili

of fuzzy methods for determining both value at risk (VaR) and subjective value at risk (SVaR), together with a stability estimation of VaR and SVaR;

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