LIBROS DEL AUTOR: ronny suarez

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  • Modeling of extreme events and stress testing analysis
    Ronny Suarez
    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&P 500 Index and to dollar / euro exchange rate. Additionally, the estimation of a generalized extreme value distribution or a generalized pareto distribution combined with the mixing unconditional di...
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    59,80 €