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Modeling of extreme events and stress testing analysis


Marketed By :  VDM Verlag Dr. Müller   Sold By :  Kamal Books International  
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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
AuthorRonny Suarez
Number of Pages56
Publishing Year2010-02-03T00:00:00.000
Edition1 st
Book TypeBusiness & management
Country of ManufactureIndia
Product BrandVDM Verlag Dr. Müller
Product Packaging InfoBox
In The Box1 Piece
Product First Available On ClickOnCare.com2015-07-29 00:00:00
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