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

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

Alexander, Carol

John Wiley & Sons

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

em até 10x de R$ 69,95 sem juros
Cartão Saraiva: 1x de R$ 664,53 (-5%)

Total:

Em até 1x sem juros de


Crédito:
Boleto:
Cartão Saraiva:

Total:

Em até 10x sem juros de


Market Risk Analysis vol. IV Value at Risk Models

R$699,50

Quer comprar em uma loja física? Veja a disponibilidade deste produto

Entregas internacionais: Consulte prazos e valores de entrega para regiões fora do Brasil na página do Carrinho.

ou receba na loja com frete grátis

X
Formas de envio Custo Entrega estimada

* Válido para compras efetuadas em dias úteis até às 15:00, horário de Brasília, com cartão de crédito e aprovadas na primeira tentativa.

X Consulte as lojas participantes

Saraiva MegaStore Shopping Eldorado Av. Rebouças, 3970 - 1º piso - Pinheiros CEP: 05402-600 - São Paulo - SP

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

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