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Modelling Financial Risks: Fat Tails, Volatility Clustering and Copulae - Bernhard Pfaff
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Bernhard Pfaff:

Modelling Financial Risks: Fat Tails, Volatility Clustering and Copulae - hardcover

2010, ISBN: 3899812298

[SR: 8471710], Hardcover, [EAN: 9783899812299], Frankfurter Allgem. Buch, Frankfurter Allgem. Buch, Book, [PU: Frankfurter Allgem. Buch], 2010-04-01, Frankfurter Allgem. Buch, 1025612, Su… More...

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Pfaff, Bernhard:

Modelling Financial Risks: Fat Tails, Volatility Clustering and Copulae - used book

ISBN: 9783899812299

Frankfurter Allgem. Buch. Used - Good. Shows some signs of wear, and may have some markings on the inside. 100% Money Back Guarantee. Shipped to over one million happy customers. Your p… More...

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Pfaff, Bernhard:
Modelling Financial Risks: Fat Tails, Volatility Clustering and Copulae - hardcover

ISBN: 9783899812299

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Modelling Financial Risks - Bernhard Pfaff
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Bernhard Pfaff:
Modelling Financial Risks - First edition

2010, ISBN: 9783899812299

Hardcover

Fat Tails, Volatility Clustering and Copulae, [ED: 1], Hardcover, Buch, [PU: Frankfurter Allgemeine Buch]

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Modelling Financial Risks - Bernhard Pfaff
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Bernhard Pfaff:
Modelling Financial Risks - used book

ISBN: 9783899812299

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Details of the book
Modelling Financial Risks: Fat Tails, Volatility Clustering and Copulae
Author:
Title:
ISBN:

3899812298


The latest financial crisis has once again shown investors the importance of meticulous risk management. But the traditional methods of risk measurement have weaknesses, which often leads to misestimation of individual and portfolio risks. In this book, Bernhard Pfaff demonstrates the inadequacies of the conventional tools. In particular, the assumption of independent identical normally distributed returns is ill-suited to the realities of the financial markets. Based on this premise, Pfaff offers alternatives: these include complex methodologies, such as risk modelling using Copulas, as well as practice-oriented means of risk approximation. The aim throughout is to modify distribution assessments in such a way to render Value-at-Risk and Expected Shortfall more useful in practical risk management.

Details of the book - Modelling Financial Risks: Fat Tails, Volatility Clustering and Copulae


EAN (ISBN-13): 9783899812299
ISBN (ISBN-10): 3899812298
Hardcover
Paperback
Publishing year: 2010
Publisher: FRANKFURTER ALLGEMEINE BUCH
Weight: 0,352 kg
Language: Englisch

Book in our database since 2009-12-17T15:10:47-05:00 (New York)
Detail page last modified on 2018-07-11T06:15:17-04:00 (New York)
ISBN/EAN: 3899812298

ISBN - alternate spelling:
3-89981-229-8, 978-3-89981-229-9
Alternate spelling and related search-keywords:
Book author: pfaff, frankfurter bernhard
Book title: modelling financial risks

Information from Publisher

Author: Bernhard Pfaff
Title: Modelling Financial Risks - Fat Tails, Volatility Clustering and Copulae
Publisher: Frankfurter Allgemeine Buch
Publishing year: 2010-03-25
Weight: 0,351 kg
Language: English
39,90 € (DE)
40,50 € (AT)
65,00 CHF (CH)
Not available (reason unspecified)
Mit zahlreichen Grafiken, Tabellen und Abbildungen

BB; GB; Hardcover, Softcover / Wirtschaft/Betriebswirtschaft; Betriebswirtschaft und Management; risk modelling; asset returns; risk management; time series analysis; This book is intended for all readers who are interested in time series analysis of asset returns. In particular, risk managers and asset managers will find it a useful guide.

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