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题名/责任者:

Market risk analysis Volume IV, Value-at-risk models / Carol Alexander.

出版发行项:

Chichester, England ; Hoboken, N.J. : John Wiley & Sons, 2008.

ISBN:

9780470997888 (v. 4 : hbk.)

ISBN:

9780470997994 (set)

ISBN:

9780470998014 (v. 2 : hbk.)

ISBN:

0470998016 (v. 2 : hbk.)

ISBN:

9780470998007 (v. 1 : hbk.)

ISBN:

0470998008 (v. 1 : hbk.)

ISBN:

9780470997895 (v. 3 : hbk.)

载体形态项:

xlii, 449 pages : ill. ; 26 cm.+ 4 CD-ROM (4 3/4 in.).

变异题名:

Value-at-risk models

丛编说明:

Market risk analysis ; volume IV

个人责任者:

Alexander, Carol.

论题主题:

Risk management.

论题主题:

Hedging (Finance)

中图法分类号:

F830.9

书目附注:

Includes bibliographical references and indexes.

内容附注:

v. 1. Quantitative methods in finance -- v. 2. Practical financial econometrics -- v. 3. Pricing, hedging and trading financial instruments -- v. 4. Value at risk models.

摘要附注:

Written by leading market risk academic, Professor Carol Alexander, Value-at-Risk Models forms part four of the Market Risk Analysis four volume set. This book covers the full range of techniques for estimating VaR and ETL, including parametric linear and non-linear models, historical simulation, Monte Carlo simulation, and extreme value theory.

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