Value at Risk-Quantifizierung Unter Verwendung Von Hochfrequenzdaten

Mark Neukomm

Value at Risk-Quantifizierung Unter Verwendung Von Hochfrequenzdaten
Format
Paperback
Publisher
Deutscher Universitats-Verlag
Country
Germany
Published
24 February 2004
Pages
301
ISBN
9783824480746

Value at Risk-Quantifizierung Unter Verwendung Von Hochfrequenzdaten

Mark Neukomm

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Mark Neukomm gibt einen theoretischen und empirischen Einblick in die Thematik von Hochfrequenzdaten und stellt neue Wege und Aspekte einer optimierten Risikomessung vor. Dazu analysiert er spezifische und fur die Risikomessung zentrale Eigenschaften von Aktienrenditen mit unterschiedlich hohen Frequenzen. Hieraus leitet er innovative VaR-Verfahren ab.

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