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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Empirical Risk Modeling of Financial Time Series using Value at Risk

Empirical Risk Modeling of Financial Time Series using Value at Risk

Nyamekye Kofi
Nyamekye Joyce

Paperback

Probability & Statistics

ISBN10: 3659706752
ISBN13: 9783659706752
Publisher: Lap Lambert Academic Pub
Published: May 5 2015
Pages: 52
Weight: 0.20
Height: 0.12 Width: 6.00 Depth: 9.00
Language: English
The aim of this book is to highlight and illustrate selected quantitative techniques for estimating financial risk. The first module in risk assessment is concerned with the risk measure used, whereas the second module is based on the risk estimation technique. The process of risk assessment involves the Value at Risk, popularly known as VaR with some corresponding risk estimators; Expected Shortfall (ES), the Extreme Value Theory (EVT) and the Generalized Pareto Distribution (GPD). The quality of the risk estimation approach with its corresponding techniques studied shall be tested for with real data. Numerical results and programming code shall be provided for the comparative estimators by the R statistical software.

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