An Econometric Analysis of Financial Data in Risk Management

The article deals with a recent and much up to date field of econometric science not yet known to the Russian reader — financial econometrics. Terminology and concepts of different kinds of risk management as well as methods of its measurement are considered in the paper. The article is a chapter of a forthcoming book on econometric methods by professors Sergei Aivazian and Dean Fantazzini.

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Year of publication:	2008
Authors:	Fantazzini, Dean
Published in:	Applied Econometrics. - Publishing House "SINERGIA PRESS". - Vol. 10.2008, 2, p. 91-137
Publisher:	Publishing House "SINERGIA PRESS"
Subject:	Risk Measures \| Risk Management \| Value at Risk \| Expected Shortfall \| Market Risk \| Historical simulation \| Monte Carlo simulation \| GARCH \| Copula-GARCH \| Backtesting

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Extent:	application/pdf
Type of publication:	Article
Classification:	C22 - Time-Series Models ; C32 - Time-Series Models ; C52 - Model Evaluation and Testing ; c58 ; G17 - Financial Forecasting ; G32 - Financing Policy; Capital and Ownership Structure
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009002154