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Backtesting Of Value-At-Risk


Marketed By :  LAP LAMBERT Academic Publishing   Sold By :  Kamal Books International  
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Rs. 3,651

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  • Product Description

This book puts forward Value-at-Risk (VaR) models based on Monte Carlo Simulation (MCS) that are integrated with two volatility representations to estimate the market risk for the non-financial sectors traded on the first board of the Malaysian stock exchange which is now known as Bursa Malaysia. Quantified at selected parameters, the reliabilities of the VaR models are tested from three different perspectives; conservatism, accuracy and efficiency. This book provides some indications of the applicability of a suitable VaR model for the sectors involved besides confirming that data and computational choices affect risk measurement qualities.

Product Specifications
SKU :COC14832
AuthorZatul Karamah Ahmad Baharul Ulum
Number of Pages72
Publishing Year7/30/2012
Edition1 st
Book TypeBusiness & management
Country of ManufactureIndia
Product BrandLAP LAMBERT Academic Publishing
Product Packaging InfoBox
In The Box1 Piece
Product First Available On ClickOnCare.com2015-07-27 00:00:00
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