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Market Risk Analysis: Volume IV: Value at Risk Models (v. 4) by Carol Alexander

Market Risk Analysis: Volume IV: Value at Risk Models (v. 4) Carol Alexander ebook
Format: pdf
Publisher: Wiley
ISBN: 0470997885, 9780470997888
Page: 494

Written by leading market risk academic, Professor Carol Alexander, Value-at-Risk Models forms part four of the Market Risk Analysis four volume set. There are six comprehensive chapters covering all the calculus, linear algebra, probability and statistics, numerical methods and portfolio mathematics that are necessary for market risk analysis. Because such profits respond to changes in lending volume under historical-cost .. Language: English Released: 2009. When a VaR-based constraint binds traders whose risk aversion is constant, the constraint effectively increases their risk aversion. The feasibility of the approach proposed was tested in a program for granting credit offered by a network of pharmacies. Volume IV builds on the three previous volumes to provide a comprehensive and detailed treatment of market VaR models. Vol.62 no.2 Rio de Janeiro Apr./June 2008. Publisher: Wiley Page Count: 494. It is a complete and pedagogical introduction to quantitative methods for which Matlab code is provided. Http://dx.doi.org/10.1590/S0034-71402008000200002. Foundation, mentions those options specifically and calls for an “analysis of the costs, requirement plus an add-on for specific sources of market risk not captured in the bank's model. This is the 'Elements of Style' for Quantitative Finance: compact, style-setting, purposeful, and designed for the new learner. 4) Author: Carol Alexander Type: eBook. Market Risk Analysis, Quantitative Methods in Finance 1st edition, Carol Alexander. GO Market Risk Analysis: Volume IV: Value at Risk Models (v. Frederico Pechir GomesI; Marcelo Yoshio TakamiII; Vinicius That is the case, for instance, of those who extract market information using the technique first presented by Breeden and Litzenberger (1978), implemented through the estimation of risk-neutral densities (RND). Investigating unusual changes in real-dollar exchange rate*.