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Modeling of extreme events and stress testing analysis

Modeling of extreme events and stress testing analysis

 

Marketed By :  VDM Verlag Dr. Müller   Sold By :  Kamal Books International  
Delivery in :  10-12 Business Days

 
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  • Product Description
 

In this book we estimated value at risk and return level using extreme value theory as an alternative mechanism to generate stress scenarios. The methodology is applied to S&P 500 Index and to dollar / euro exchange rate. Additionally, the estimation of a generalized extreme value distribution or a generalized pareto distribution combined with the mixing unconditional disturbances model is developed as a tool that can be used to create values for sensitivity test purpose.

Product Specifications
SKU :COC26741
Country of ManufactureIndia
Product BrandVDM Verlag Dr. Müller
Product Packaging InfoBox
In The Box1 Piece
Product First Available On ClickOnCare.com2015-07-29
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