Modeling of extreme events and stress testing analysis

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Modeling of extreme events and stress testing analysis
Автор
 
Год
 
Страниц
 
56
ISBN
 
9783639240887
Категория
 
Новые поступления

Описание:

In this book we estimated value at risk and return level using extreme value theory as an alternative mechanism to generate stress scenarios. The methodology is applied to S

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