Risk Management: Value at Risk and Beyond (Hardcover)
 
作者: M. A. H. Dempster 
分類: Budgeting & financial management ,
Probability & statistics  
書城編號: 114031


售價: $1414.00

購買後立即進貨, 約需 18-25 天

 
 
出版社: Cambridge University Press
出版日期: 2001/12
頁數: 450
ISBN: 9780521781800

商品簡介
The theory of Value at Risk (VaR), which quantifies the probability of large losses in financial transactions, won the Nobel Prize in economics for Robert Merton. As trading systems have become more complex, however, the dangers of very large losses have become more acute. The near collapse of the hedge fund Long-Term Capital Management, based on the VaR theory, is perhaps the most spectacular example: it was not stable against large and sudden fluctuations in the financial markets. This collection of papers by leading researchers addresses the weaknesses of VaR and how it might be possible to circumvent them. A crucial question is to establish what is a good measure of risk, and the further developments of VaR are considered in this light.
M. A. H. Dempster 作者作品表

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Risk Management: Value at Risk and Beyond (Hardcover)

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