Modeling of extreme events and stress testing analysis

By Ronny Suarez

In this book we estimated value at risk and return level using extreme value theory as an alternative mechanism to generate stress scenarios. The methodology is applied to S&P 500 Index and to dollar... This description may be from another edition of this product.

• Format: Paperback
• Language: English
• ISBN: 363924088X
• ISBN13: 9783639240887
• Release Date: March 2010
• Publisher: VDM Verlag
• Length: 56 Pages
• Weight: 0.21 lbs.
• Dimensions: 0.1" x 6.0" x 9.0"