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Market Risk in Transition Countries - Value at Risk Approach

Autor Sasa Zikovic
en Limba Engleză Paperback – 31 iul 2010
When using Value at Risk (VaR) models, created and suited for developed and liquid markets, in developing transition markets practitioners and researchers are often troubled with the same questions: Do the VaR model, developed and tested in the developed and liquid financial markets apply to the volatile and shallow financial markets of transition countries? Do the commonly used VaR models adequately capture the market risk of these markets or do they only give a false sense of security? This book gives the answers to such questions and represents the first systematic study of risk management issues in transition markets. It gives an unique empirical analysis of all European transition markets, and presents a new method for calculating VaR in volatile transition markets taking into account the main characteristics of these markets (abrupt changes in the volatility regimes, autoregression, heteroskedasticity, asymmetry and fat tails).
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Specificații

ISBN-13: 9789537332051
ISBN-10: 9537332055
Pagini: 396
Dimensiuni: 246 x 189 x 21 mm
Greutate: 0.7 kg
Editura: Solutio Ltd