{"product_id":"modeling-of-extreme-events-and-ronny-suarez-9783639240887","title":"Modeling of extreme events and stress testing analysis","description":"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\u0026amp;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 disturbances model is developed as a tool that can be used to create values for sensitivity test purpose.\u003cbr\u003e\u003cbr\u003e\u003cb\u003eAuthor:\u003c\/b\u003e Ronny Suarez\u003cbr\u003e\u003cb\u003eISBN-10:\u003c\/b\u003e 363924088X\u003cbr\u003e\u003cb\u003eISBN-13:\u003c\/b\u003e 9783639240887\u003cbr\u003e\u003cb\u003ePublisher:\u003c\/b\u003e VDM Verlag\u003cbr\u003e\u003cb\u003eLanguage:\u003c\/b\u003e English\u003cbr\u003e\u003cb\u003ePublished:\u003c\/b\u003e 03\/02\/2010\u003cbr\u003e\u003cb\u003ePages:\u003c\/b\u003e 56\u003cbr\u003e\u003cb\u003eFormat:\u003c\/b\u003e Paperback\u003cbr\u003e\u003cb\u003eWeight:\u003c\/b\u003e 0.21lbs\u003cbr\u003e\u003cb\u003eSize:\u003c\/b\u003e 9.00h x 6.00w x 0.13d","brand":"Ronny Suarez","offers":[{"title":"Paperback","offer_id":47474362614015,"sku":"9783639240887","price":52.92,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0662\/2982\/9887\/files\/img_0ab6ec85-05e0-47d2-9ea3-6a670be56435.jpg?v=1762316252","url":"https:\/\/www.whiterainbookhouse.com\/products\/modeling-of-extreme-events-and-ronny-suarez-9783639240887","provider":"WR Book House","version":"1.0","type":"link"}