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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