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ChapterValue at Risk

Christian Gouriéroux2010

Chapter2010

Value at Risk

Christian Gouriéroux · Joann Jasiak

24 citations·0/0 files stored·Elsevier eBooks

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Financial Risk and Volatility Modeling Banking stability, regulation, efficiency Risk Management in Financial Firms

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References

1973The Pricing of Options and Corporate Liabilities 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1963The Variation of Certain Speculative Prices 1997The variation of certain speculative prices 1997Modelling Extremal Events 1987The Pricing of Options on Assets with Stochastic Volatilities

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Year2010

Typechapter

Published2010-01-01

VenueElsevier eBooks

Languageen

Citations24

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/b978-0-444-50897-3.50013-4

openalex_workW2289285309

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