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.

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Mode of access: World Wide Web.

1957 Henry Stewart Talks


Financial risk management.
Technical University of Mombasa
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