Market Risk in Transition Countries - Value at Risk Approach

Market Risk in Transition Countries - Value at Risk Approach
Auteur: Sasa Zikovic
Uitgever: Solutio Ltd
  • Engels
  • Paperback
  • 9789537332051
  • augustus 2010
  • 396 pagina's
Alle productspecificaties

Samenvatting

When using Value at Risk (VaR) models, created and suited for developed and liquid markets, in developing transition markets practitioners and researchers are often troubled with the same questions: Do the VaR model, developed and tested in the developed and liquid financial markets apply to the volatile and shallow financial markets of transition countries? Do the commonly used VaR models adequately capture the market risk of these markets or do they only give a false sense of security? This book gives the answers to such questions and represents the first systematic study of risk management issues in transition markets. It gives an unique empirical analysis of all European transition markets, and presents a new method for calculating VaR in volatile transition markets taking into account the main characteristics of these markets (abrupt changes in the volatility regimes, autoregression, heteroskedasticity, asymmetry and fat tails).

Productspecificaties

Inhoud

Taal
Engels
Bindwijze
Paperback
Verschijningsdatum
augustus 2010
Aantal pagina's
396 pagina's
Illustraties
Met illustraties

Betrokkenen

Auteur
Sasa Zikovic
Uitgever
Solutio Ltd

EAN

EAN
9789537332051

Overige kenmerken

Extra groot lettertype
Nee
Thema Subject Code
KJ

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