Greg N Gregoriou: 33 books
The VAR Implementation Handbook, Chapter 13 - Value at Risk for High-Dimensional Portfolios
A Dynamic Grouped t-Copula Approach
Language: English
Release Date: February 19, 2009
The following is a chapter from The VaR Implementation Handbook, which examines the latest strategies for measuring, managing, and modeling risk across a variety of applications. Packed with the insights, methods, and models that make experienced professionals competitive all over the world, this comprehensive...
by Greg N. Gregoriou
Language: English
Release Date: February 19, 2009
Language: English
Release Date: February 19, 2009
The following is a chapter from The VaR Implementation Handbook, which examines the latest strategies for measuring, managing, and modeling risk across a variety of applications. Packed with the insights, methods, and models that make experienced professionals competitive all over the world, this comprehensive...
by Greg N. Gregoriou
Language: English
Release Date: February 19, 2009
Language: English
Release Date: February 19, 2009
The following is a chapter from The VaR Implementation Handbook, which examines the latest strategies for measuring, managing, and modeling risk across a variety of applications. Packed with the insights, methods, and models that make experienced professionals competitive all over the world, this comprehensive...
by Greg N. Gregoriou
Language: English
Release Date: February 19, 2009
Language: English
Release Date: February 19, 2009
The following is a chapter from The VaR Implementation Handbook, which examines the latest strategies for measuring, managing, and modeling risk across a variety of applications. Packed with the insights, methods, and models that make experienced professionals competitive all over the world, this comprehensive...
The VAR Implementation Handbook, Chapter 23 - How Investors Face Financial Risk Loss Aversion and Wealth Allocation with Two-Dimensional Individual Utility
A VaR Application
Language: English
Release Date: February 19, 2009
The following is a chapter from The VaR Implementation Handbook, which examines the latest strategies for measuring, managing, and modeling risk across a variety of applications. Packed with the insights, methods, and models that make experienced professionals competitive all over the world, this comprehensive...
The VAR Implementation Handbook, Chapter 3 - Applying VaR to Hedge Fund Trading Strategies
Limitations and Challenges
Language: English
Release Date: February 19, 2009
The following is a chapter from The VaR Implementation Handbook, which examines the latest strategies for measuring, managing, and modeling risk across a variety of applications. Packed with the insights, methods, and models that make experienced professionals competitive all over the world, this comprehensive...
The VAR Implementation Handbook, Chapter 7 - Explaining Cross-Sectional Differences in Credit Default Swap Spreads
An Alternative Approach Using Value at Risk
Language: English
Release Date: February 19, 2009
The following is a chapter from The VaR Implementation Handbook, which examines the latest strategies for measuring, managing, and modeling risk across a variety of applications. Packed with the insights, methods, and models that make experienced professionals competitive all over the world, this comprehensive...
by Greg N. Gregoriou
Language: English
Release Date: February 19, 2009
Language: English
Release Date: February 19, 2009
The following is a chapter from The VaR Implementation Handbook, which examines the latest strategies for measuring, managing, and modeling risk across a variety of applications. Packed with the insights, methods, and models that make experienced professionals competitive all over the world, this comprehensive...
by Greg N. Gregoriou
Language: English
Release Date: February 19, 2009
Language: English
Release Date: February 19, 2009
The following is a chapter from The VaR Implementation Handbook, which examines the latest strategies for measuring, managing, and modeling risk across a variety of applications. Packed with the insights, methods, and models that make experienced professionals competitive all over the world, this comprehensive...
by Greg N. Gregoriou
Language: English
Release Date: February 19, 2009
Language: English
Release Date: February 19, 2009
The following is a chapter from The VaR Implementation Handbook, which examines the latest strategies for measuring, managing, and modeling risk across a variety of applications. Packed with the insights, methods, and models that make experienced professionals competitive all over the world, this comprehensive...
by Greg N. Gregoriou
Language: English
Release Date: February 19, 2009
Language: English
Release Date: February 19, 2009
The following is a chapter from The VaR Implementation Handbook, which examines the latest strategies for measuring, managing, and modeling risk across a variety of applications. Packed with the insights, methods, and models that make experienced professionals competitive all over the world, this comprehensive...
by Greg N. Gregoriou, Razvan Pascalau
Language: English
Release Date: December 8, 2010
Language: English
Release Date: December 8, 2010
This book proposes new methods to value equity and model the Markowitz efficient frontier using Markov switching models and provide new evidence and solutions to capture the persistence observed in stock returns across developed and emerging markets.
The VAR Implementation Handbook, Chapter 2 - Efficient VaR
Using Past Forecast Performance to Generate Improved VaR Forecasts
Language: English
Release Date: February 19, 2009
The following is a chapter from The VaR Implementation Handbook, which examines the latest strategies for measuring, managing, and modeling risk across a variety of applications. Packed with the insights, methods, and models that make experienced professionals competitive all over the world, this comprehensive...
Operational Risk Toward Basel III
Best Practices and Issues in Modeling, Management, and Regulation
Language: English
Release Date: March 17, 2009
This book consists of chapters by contributors (well-known professors, practitioners, and consultants from large and well respected money management firms within this area) offering the latest research in the OpRisk area. The chapters highlight how operational risk helps firms survive and prosper...