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Дополнительная литература

Artzner P., Delbaen F., Eber J.-M. and Heath D. Coherent Measures of Risk // Mathematical Finance, 9 (1999). – P. 203-228.

Basak S. and Shapiro A. Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices // Review of Financial Studies, 14, 2 (2001). – P. 371^105.

Beder T. VaR: Seductive bur Dangerous // Financial Analysts Journal, 51,5 (1995). -P. 12-24.

Альпари

Boudoukh J., Richardson M. and Whitelaw R. The Best of Both Worlds // Risk, May 1998. – P. 64-67.

Dowd K. Beyond Value at Risk: The New Science of Risk Management. – Wiley, New York, 1998.

Duffie D. and Pan J. An Overview of Value at Risk // Journal of Derivatives, 4, no. 3 (Spring 1997). – P. 7^19.

Embrechts P., Kluppelberg С andMikosch T. Modeling Extremal Events for Insurance and Finance. – Springer, New York, 1997.

Frye J. Principals of Risk: Finding VAR through Factor-Based Interest Rate Scenarios; in VAR: Understanding and Applying Value at Risk. – Risk Publications, London, 1997, – P. 257-288.

Hendricks D. Evaluation of Value-at-Risk Models Using Historical Data. – Economic Policy Review, Federal reserve Bank of New York, 2 (April 1966). – P. 39-69.

Hopper G. Value at Risk: A New Methodology for Measuring Portfolio Risk. – Business Review, Federal Reserve bank of Philadelphia, July/August 1996. – P. 19-29.

Hua P. and Willmott P. Crash Courses // Risk, June 1997. – P. 64-67.

Hull J. С and White A. Value at Risk When Daily Changes in Market Variables Are Not Normally Distrbuted // Journal of Derivatives, 5 (Spring 1998). – P. 9-19.

HullJ. С and White A. Incorporating Volatility Updating into the Historical Simulation Method for Value at Risk // Journal of Risk, 1, no. 1 (1998). – P. 5-19.

Jackson P., Maude D. J. and Perraudin W. Bank Capital and Value at Risk // Journal of Derivatives, 4, no. 3 (Spring 1997). – P. 73-90.

Jamshidian F. and Zhu Y. Scenario Simulation Model: Theory and Methodology // Finance and Stochastics, 1 (1997). – P. 43-67.

Jorion P. Value at Risk: The New Benchmark for Controlling Market Risk. – Irwin, Burr Ridge, IL, 1997.

Longing F M. Beyond the VaR // Journal of Derivatives, 8, 4 (Summer 2001). – P. 36-48.

Marshall С and Siegel M. Value at Risk: Implementing a Risk Measurement Standard // Journal of Derivatives, 4, 3 (Spring 1997). – P. 91-111.

McNeil A. J. Extreme Value Theory for Risk Managers; in Internal Modeling and CAD II, London: Risk Books, 1999 (www.math. ethz. ch/~mcneil).

Neftci S. N. Value at Risk Calculations, extreme Events and Tail Estimation // Journal of Derivatives, 7, 3 (Spring 2000). – P. 23-38.

Rich D. Second Generation VaR and Risk-Adjusted Return on Capital // Journal of Derivatives, 10, 4 (Summer 2003). – P. 51-61.


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  Альпари Binomo InstaForex
Лучшие брокеры 2018: Брокер «Альпари» Брокер «Binomo» Брокер «InstaForex»
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