Econometric modeling of value at risk
By: Timotheos Angelidis and Stavros Degiannakis.
Contributors: Degiannakis, Stavros.
Publisher: Nova Science Publishers
Published: 2009
Place of publication: Hauppauge, NY
Language: eng
ISBN-13: 9781607410409
Subjects: Risk management -- Econometric models; Value -- Econometric models
Notes: Includes index.
Table of contents: title: Value at risk; title: Expected shortfall; title: VaR and ES modeling; title: Liquidity adjusted value-at-risk; title: Backtesting value-at-risk.