Artboard 33 Artboard 16 Artboard 18 Artboard 15 Artboard 21 Artboard 1 Artboard 2 Artboard 5 Artboard 45 Artboard 45 Artboard 22 Artboard 9 Artboard 23 Artboard 17? Artboard 28 Artboard 43 Artboard 49 Artboard 47 Artboard 38 Artboard 32 Artboard 8 Artboard 22 Artboard 5 Artboard 25 Artboard 1 Artboard 42 Artboard 11 Artboard 41 Artboard 13 Artboard 23 Artboard 10 Artboard 4 Artboard 9 Artboard 20 Artboard 6 Artboard 11 Artboard 7 Artboard 3 Artboard 3 Artboard 12 Artboard 25 Artboard 34 Artboard 39 Artboard 24 Artboard 13 Artboard 19 Artboard 7 Artboard 24 Artboard 31 Artboard 4 Artboard 14 Artboard 27 Artboard 30 Artboard 36 Artboard 44 Artboard 12 Artboard 17 Artboard 17 Artboard 6 Artboard 27 Artboard 19 Artboard 30 Artboard 29 Artboard 29 Artboard 26 Artboard 18 Artboard 2 Artboard 20 Artboard 35 Artboard 15 Artboard 14 Artboard 48 Artboard 50 Artboard 26 Artboard 16 Artboard 40 Artboard 21 Artboard 29 Artboard 10 Artboard 37 Artboard 3 Artboard 3 Artboard 46 Artboard 8
Frete Grátis
  • Google Plus

Market Risk Analysis vol. IV Value at Risk Models (Cód: 2680503)

Alexander,Carol

John Wiley & Sons

Ooopss! Este produto está temporariamente indisponível.
Mas não se preocupe, nós avisamos quando ele chegar.

Ooops! Este produto não está mais a venda.
Mas não se preocupe, temos uma versão atualizada para você.

Ooopss! Este produto está fora de linha, mas temos outras opções para você.
Veja nossas sugestões abaixo!

R$ 699,50 R$ 559,60 (-20%) em até 10x de R$ 55,96 sem juros
Cartão Saraiva R$ 531,62 (-5%) em até 1x no cartão ou em até 15x de R$ 37,31 sem juros

Crédito:
Boleto:
Cartão Saraiva:

Total: R$0,00

Em até 10x sem juros de R$ 0,00


Market Risk Analysis vol. IV Value at Risk Models

R$559,60

Descrição

Written by leading market risk academic, Professor Carol Alexander, Value-at-Risk Models forms part four of the Market Risk Analysis four volume set. Building on the three previous volumes this book provides by far the most comprehensive, rigorous and detailed treatment of market VaR models. It rests on the basic knowledge of financial mathematics and statistics gained from Volume I, of factor models, principal component analysis, statistical models of volatility and correlation and copulas from Volume II and, from Volume III, knowledge of pricing and hedging financial instruments and of mapping portfolios of similar instruments to risk factors. A unifying characteristic of the series is the pedagogical approach to practical examples that are relevant to market risk analysis in practice.
All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM . Empirical examples and case studies specific to this volume include: *Parametric linear value at risk (VaR)models: normal, Student t and normal mixture and their expected tail loss (ETL); *New formulae for VaR based on autocorrelated returns; *Historical simulation VaR models: how to scale historical VaR and volatility adjusted historical VaR; *Monte Carlo simulation VaR models based on multivariate normal and Student t distributions, and based on copulas; *Examples and case studies of numerous applications to interest rate sensitive, equity, commodity and international portfolios; *Decomposition of systematic VaR of large portfolios into standard alone and marginal VaR components; *Backtesting and the assessment of risk model risk; *Hypothetical factor push and historical stress tests, and stress testing based on VaR and ETL.

Características

Produto sob encomenda Sim
Marca John Wiley & Sons
Cód. Barras 9780470997888
Altura 21.00 cm
I.S.B.N. 9780470997888
Profundidade 1.00 cm
Referência .
Acabamento Capa dura
Ano da edição 2009
Idioma Inglês
País de Origem Estados Unidos
Número de Páginas 492
Peso 0.99 Kg
Largura 14.00 cm
AutorAlexander,Carol

Avaliações

Avaliação geral: 0

Você está revisando: Market Risk Analysis vol. IV Value at Risk Models