Value at risk models in finance:
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Frankfurt am Main
European Central Bank
2001
|
| Series: | Working paper series / European Central Bank
75 |
| Subjects: | |
| Links: | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009582859&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Physical Description: | 40 S. |
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Record in the Search Index
| _version_ | 1824392732655747072 |
|---|---|
| adam_text |
CONTENTS
ABSTRACT
4
NON-TECHNICAL
SUMMARY
5
I
INTRODUCTION
6
2
VAR
METHODOLOGIES
7
2.1
PARAMETRIC
MODELS
8
2.2
NONPARAMETRIC
METHODS
10
2.3
SEMIPARAMETRIC
MODELS
12
3
EXPECTED
SHORTFALL
20
4
MONTE
CARLO
SIMULATION
22
4.1
SUMULATION
STUDY
OF
THE
THRESHOLD
CHOICE
FOR
EVT
22
4.2
COMPARISON
OF
QUANTILE
METHODS
PERFORMANCE
24
5
CONCLUSION
28
REFERENCES
29
APPENDIX
A:
TABLES
3
1
APPENDIX
B:
FIGURES
35
EUROPEAN
CENTRAL
BANK
WORKING
PAPER
SERIES
36 |
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| author | Manganelli, Simone Engle, Robert F. 1942- |
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| illustrated | Not Illustrated |
| indexdate | 2025-02-18T11:01:31Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-009582859 |
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| physical | 40 S. |
| publishDate | 2001 |
| publishDateSearch | 2001 |
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| publisher | European Central Bank |
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| series2 | Working paper series / European Central Bank |
| spelling | Manganelli, Simone Verfasser aut Value at risk models in finance by Simone Manganelli and Robert F. Engle Frankfurt am Main European Central Bank 2001 40 S. txt rdacontent n rdamedia nc rdacarrier Working paper series / European Central Bank 75 Monte Carlo-methode gtt Portfolio-analyse gtt Risico's gtt Investment analysis Risk management Engle, Robert F. 1942- Verfasser (DE-588)128388528 aut European Central Bank Working paper series 75 (DE-604)BV012681744 75 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009582859&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Manganelli, Simone Engle, Robert F. 1942- Value at risk models in finance Monte Carlo-methode gtt Portfolio-analyse gtt Risico's gtt Investment analysis Risk management |
| title | Value at risk models in finance |
| title_auth | Value at risk models in finance |
| title_exact_search | Value at risk models in finance |
| title_full | Value at risk models in finance by Simone Manganelli and Robert F. Engle |
| title_fullStr | Value at risk models in finance by Simone Manganelli and Robert F. Engle |
| title_full_unstemmed | Value at risk models in finance by Simone Manganelli and Robert F. Engle |
| title_short | Value at risk models in finance |
| title_sort | value at risk models in finance |
| topic | Monte Carlo-methode gtt Portfolio-analyse gtt Risico's gtt Investment analysis Risk management |
| topic_facet | Monte Carlo-methode Portfolio-analyse Risico's Investment analysis Risk management |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009582859&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV012681744 |
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