Sheedy, Elizabeth.
VaR when volatility is changing [electronic resource] / Elizabeth Sheedy. - London : Henry Stewart Talks, 2008. - 1 online resource (1 streaming video file (26 min.) : color, sound). - Quantitative financial risk management : fundamentals, models and techniques, 2056-4570 . - Henry Stewart talks. Business & management collection. Quantitative financial risk management. .
Animated audio-visual presentations with synchronized narration. Title from title frames.
Contents: What can we learn from problems with VaR models in late 2007? -- Common patterns in volatility (the clustering effect) -- Forecasting volatility using GARCH -- Implications for VaR, stress testing and capital requirements.
Access restricted to subscribers.
Mode of access: World Wide Web.
1957 Henry Stewart Talks
Financial risk management.
VaR when volatility is changing [electronic resource] / Elizabeth Sheedy. - London : Henry Stewart Talks, 2008. - 1 online resource (1 streaming video file (26 min.) : color, sound). - Quantitative financial risk management : fundamentals, models and techniques, 2056-4570 . - Henry Stewart talks. Business & management collection. Quantitative financial risk management. .
Animated audio-visual presentations with synchronized narration. Title from title frames.
Contents: What can we learn from problems with VaR models in late 2007? -- Common patterns in volatility (the clustering effect) -- Forecasting volatility using GARCH -- Implications for VaR, stress testing and capital requirements.
Access restricted to subscribers.
Mode of access: World Wide Web.
1957 Henry Stewart Talks
Financial risk management.