Name: Backtesting of Value-At-Risk
SKU: 25340490
Price: 1868.00 TWD
Availability: InStock
Author: Zatul Karamah Ahmad Baharul Ulum
ISBN: 9783659196607

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Type

Physical Book

Publisher

Lap Lambert Academic Publishing

Author

Zatul Karamah Ahmad Baharul Ulum

Year

2012

Language

English

Pages

Format

Paperback

ISBN

3659196606

ISBN13

9783659196607

Synopsis "Backtesting of Value-At-Risk "

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.

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Backtesting of Value-At-Risk - Zatul Karamah Ahmad Baharul Ulum

Synopsis "Backtesting of Value-At-Risk "

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