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Market Risk Analysis IV

Hardcover • 2008 • English

Market Risk Analysis IV: Value-At-Risk Models

By Carol Alexander

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About the book

Written by leading market risk academic, Professor Carol Alexander, Value-at-Risk Models forms part four of the Market Risk Analysis four volume set. Building on the three previous volumes this book provides by far the most comprehensive, rigorous and detailed treatment of market VaR models. It rests on the basic knowledge of financial mathematics and statistics gained from Volume I, of factor models, principal component analysis, statistical models of volatility and correlation and copulas fr...Show more

Economics, Finance, Business and Management
Finance and accounting

Book details

ISBN

9780470997888

Published year

2008

Language

English

Original title

Market Risk Analysis IV

Format

Hardcover

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