La Value-at-Risk: Modèles de la VaR, simulations en Visual Basic (Excel) et autres mesures récentes du risque de marché
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More about this item
Keywords
Ingénierie financière; simulation de Monte Carlo; banques; copules; transformée de Fourier.;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BEC-2006-01-24 (Business Economics)
- NEP-CFN-2006-01-24 (Corporate Finance)
- NEP-FIN-2006-01-24 (Finance)
- NEP-FMK-2006-01-24 (Financial Markets)
- NEP-RMG-2006-01-24 (Risk Management)
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