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LAP Lambert Academic Publishing Backtesting Of Value-At-Risk: Case Of The Malaysian Market

Name: Backtesting Of Value-At-Risk: Case Of The Malaysian Market
Brand: LAP Lambert Academic Publishing
Price: 42.0 GBP
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Description

This book puts forward Value-at-Risk (VaR) models based on Monte Carlo Simulation (MCS) that are integrated with two volatility representations to estimate the market risk for the non-financial sectors traded on the first board of the Malaysian stock exchange which is now known as Bursa Malaysia. Quantified at selected parameters, the reliabilities of the VaR models are tested from three different perspectives; conservatism, accuracy and efficiency. This book provides some indications of the applicability of a suitable VaR model for the sectors involved besides confirming that data and computational choices affect risk measurement qualities.

Product Specifications

Brand: LAP Lambert Academic Publishing
Format: paperback
ASIN: 3659196606
Category: Books > Subjects > Business, Finance & Law > E-Commerce > E-commerce
Domain: Amazon UK
Release Date: 30 July 2012
Listed Since: 31 July 2012

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It has never been this cheap. We have no record of a lower price.

LAP Lambert Academic Publishing Backtesting Of Value-At-Risk: Case Of The Malaysian Market

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Similar Products You Might Like

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