Title Econometric modeling of value-at-risk / Timotheos Angelidis and Stavros Degiannakis

Published New York : Nova Science Publishers, ©2009

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Description 1 online resource (vi, 83 pages) : illustrations Series Financial institutions and services series Financial institutions and services. Contents Value at risk -- Expected shortfall -- VaR and ES modeling -- Liquidity adjusted value-at-risk -- Backtesting value-at-risk Bibliography Includes bibliographical references and index Notes Print version record Subject Risk management -- Econometric models Value -- Econometric models BUSINESS & ECONOMICS -- Economics -- Microeconomics. Risk management -- Econometric models Form Electronic book Author Degiannakis, Stavros ISBN 9781613245071 1613245076

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