Risk Management Through VaR Models

Name: Risk Management Through VaR Models
Brand: LAP Lambert Academic Publishing
SKU: 9783659239885
Price: 344.27 RON
Availability: InStock

A case of Indian Stock Market (NSE)

Autor: P.A. Naidu

Limbă:

Legare: Carte broșată

Editura: LAP Lambert Academic Publishing

Disponibilitate: În depozitul extern

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344.27 lei

This book gives an overview of one of the most widespread Value at Risk Models in use in most of ris...

Informații despre carte

Autor

P.A. Naidu

Limbă

engleză

Legare

Carte - Carte broșată

Publicat

2013

Pagini

180

EAN

9783659239885

Enbook ID

02201343

Editura

LAP Lambert Academic Publishing

Greutate

286

Dimensiuni

150 x 220 x 11

Descriere completă

This book gives an overview of one of the most widespread Value at Risk Models in use in most of risk management departments across the financial industry. VaR calculates the worst expected loss over a given horizon at a given confidence level under normal market conditions. VaR estimates can be calculated for various types of risk: market, credit, operational, etc. I focused only on Market Risk. Market risk is the risk that the value of an investment will decrease due to moves in market factors such as prices, rates, volatilities and other relevant market parameters. In such a context, VaR provides a single number summarizing the organization s exposure to market risk and the likelihood of an unfavorable move. There are mainly three groups of VaR: Analytical (also called Parametric), Historical Simulations, and Monte Carlo Simulations. Non Parametric: GARCH, EGARCH. Semi Parametric: CaVaR, Extreme Value Theory etc. Here I have used parametric and non parametric VaR models for NSE daily and intraday data.

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