Market risk analysis : value-at-risk models / Carol Alexander.
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TextPublication details: Hoboken, N.J. : Chichester, England : John Wiley .2008Description: 4v. : ill ; 26cmISBN: - 9780470997994 (set)
- 9780470997888 (Vol.4)
- 658.15'5 22
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| 658.1'1 CLY Entrepreneurial opportunity : | 658.1'511 DRU Management and cost accounting / | 658.15'11 NOR Managerial accounting for managers / | 658.15'5 ALE Market risk analysis : | 658.15'5 AND Managing Risk and Opportunity : | 658.15'5 CAR The handbook of risk management : | 658.15'5 CHA Simple tools and techniques of enterprise risk management / |
Includes bibliographical references (p. 437-439) and index
v. 1. Quantitative methods in finance -- v. 2. Practical financial econometrics -- v. 3. Pricing, hedging and trading financial instruments -- v. 4. Value-at-risk model.
This book provides the most comprehensive, rigorious and detailed treatment of market VaR models. It rests on the basic knowledge of financial mathematics and statistics gained from Volume 1, of factor models, principal component analysis, statistical models of volatility and correlation and copulas from other volumes.
osa 26/07/13
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