Econometric modelling of value-at-risk

Stavros Degiannakis, T. Angelidis

Research output: Book/ReportBook


Recently risk management has become a standard prerequisite for all financial institutions. Value-at-Risk is the main tool of reporting to the bank regulators the risk that the financial institutions face. As it is essential to estimate it accurately, numerous methods have been proposed in order to minimise the forecast error. This book provides a selective survey of the risk management techniques that have been applied and discusses potential improvements in estimating, evaluating and adjusting Value-at-Risk and Expected Shortfall.
Original languageEnglish
Place of PublicationNew York
PublisherNova Science Publishers
Number of pages83
ISBN (Print)1607410400
Publication statusPublished - 2009

Publication series

NameFinancial Institutions and Services Series
PublisherNova Science Publishers


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