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Economètrie Financière by Collectif

Economètrie Financière

by Collectif
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Book cover type: Paperback
  • ISBN13: 9783841798503
  • Binding: Paperback
  • Subject: N/A
  • Publisher: Omniscriptum
  • Publisher Imprint: Omniscriptum
  • Publication Date:
  • Pages: 136
  • Original Price: GBP 46.0
  • Language: French
  • Edition: N/A
  • Item Weight: 209 grams
  • BISAC Subject(s): Probability & Statistics / General

Importée à la fin des années 1980 sur les marchés financières aux Etats-Unis et ayant ses origines dans le domaine de l'assurance, la notion de Value-at-Risk (VaR) est devenue un instrument important utilisé notamment pour déterminer le risque sur les marché financières, ainsi que pour mesurer la volatilité d'un portefeuille. Premièrement, nous allons prendre en compte les deux types d'estimations de la VaR: la VaR non diversifiée et la VaR multivariée, estimations que nous allons appliquer sur un portefeuille comprenant les actifs financiers de trois entreprises. Le but de cette analyse sera de tirer une conclusion quant au mieux choix à faire parmi les deux approches. Ensuite, nous allons poursuivre avec le calcul des prévisions pour une durée de quatre ans. En vue de vérifier la qualité prévisionnelle, nous allons utiliser des tests de backtesting. Nous présenterons en annexe le code SAS utilisé à la réalisation de ces estimations. Ce travail est adressé principalement aux étudiants en économie, statistique, économétrie, susceptibles d'ètre intéressés par ce sujet, ainsi qu'aux professionnels.

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