Open Daily: 10am - 10pm | Alley door pickup 10am - 7pm 3038 Hennepin Ave Minneapolis, MN
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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
Market risk in transition countries - Value at Risk Approach

Market risk in transition countries - Value at Risk Approach

Zikovic, Sasa

Paperback

Business General

ISBN10: 9537332055
ISBN13: 9789537332051
Publisher: Solutio Ltd
Published: Jun 30 2010
Pages: 396
Weight: 1.55
Height: 0.81 Width: 7.44 Depth: 9.69
Language: English
When using Value at Risk (VaR) models, created and suited for developed and liquid markets, in developing transition markets practitioners and researchers are often troubled with the same questions: Do the VaR model, developed and tested in the developed and liquid financial markets apply to the volatile and shallow financial markets of transition countries? Do the commonly used VaR models adequately capture the market risk of these markets or do they only give a false sense of security? This book gives the answers to such questions and represents the first systematic study of risk management issues in transition markets. It gives an unique empirical analysis of all European transition markets, and presents a new method for calculating VaR in volatile transition markets taking into account the main characteristics of these markets (abrupt changes in the volatility regimes, autoregression, heteroskedasticity, asymmetry and fat tails).

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