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Market Risk AnalysisVolume IVValue-at-Risk ModelsCarol AlexanderMarket Risk AnalysisVolume IVValue-at-Risk ModelsMarket Risk wiley.comCopyright 2008 Carol AlexanderAll Rights Reserved. No part of this publication may be reproduced, stored in a retrieval system or transmittedin
Carol Alexander is one of the world’s leading authorities on market risk analysis. She is Professor of Financial Risk Management at the University of Sussex and co-editor-in-Chief of the Journal of Banking and Finance, with Geert Carol Alexander Market Risk Analysis Volume IV: Value-At-Risk Models.
Volume IV: Value at Risk Models. Although the four volumes are very much interlinked, each containing numerous cross-references to other volumes, they are written as self-contained texts. Written by leading market risk academic, Professor Carol Alexander, Value-at-Risk Models forms
Market Models describes financial market models as used by investment risk managers and Author Carol Alexander set out to create a text that balances theory and practice; builds a bridge between the Value at risk (VaR) is also presented in a nice section relating VaR to past and current Basel
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.
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. Carol Alexander. Professor of Finance, University of Sussex. Подтвержден адрес электронной почты в домене sussex.ac.uk – Главная страница. 1999. On the covariance matrices used in value at risk models. CO Alexander, CT Leigh. Journal of Derivatives 4 (3), 50-62, 1997.
Coding-books/(Wiley Finance Series) Carol Alexander-Market Risk Analysis_ Quantitative Methods in Finance, Volume 1-John Wiley and Sons (2008).pdf.
Long-Term Capital Management 3. Value-at-Risk Estimation a. Analytic approximations (normal, delta-gamma) b. Monte-Carlo simulation c. Historical simulation d. Back-testing and validation e. Software Market Risk Analysis: Value-at-Risk Models (Volume IV) Carol Alexander 2009 978-0470997888.
Carol Alexander. University of Sussex Business School. Credit risk, economic capital, market risk, risk aggregation, risk diversification, value-at-risk, factor model, risk adjust return on capital. File name: FMII.pdf Size: 0K. If you wish to purchase the right to make copies of this paper for distribution
Market Risk Analysis, Value at Risk Models. Авторы: Carol Alexander.
Carol Alexander brings many new insights to the pricing and hedging of options with her understanding of volatility and correlation, and the 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
Carol Alexander brings many new insights to the pricing and hedging of options with her understanding of volatility and correlation, and the 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

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