{"product_id":"financial-risk-management-von-voon-choong-yap","title":"Financial Risk Management","description":"\u003cp\u003eA simple transformation is used to transform the  normally distributed random variable E to a random  variable R such that the distribution of R has  fatter tails and thinner waist than the normal  distribution. The fat-tail distribution is shown to  give a good fit to the data on return of the  portfolio in the Kuala Lumpur Stock Exchange. The  following methods are used to find the distribution  of the return of the portfolio: 1)Simulation 2)A  combination of simulation and numerical integration.  3)Approximate method which involves the derivation  of the first four moments of the return of the  portfolio. The distribution thus found for return of  the portfolio agrees well with the observed  distribution of return of the portfolio. Value at  Risk (VaR) based on the fat-tailed distribution is  found to outperform the VaR based on the  multivariate normal distribution. An approximate 95%  confidence interval is found to be able to cover the  true value of the VaR with a probability which is  close to the target value of 0.95. The book is  intended for practitioners in risk management,  postgraduate students and academics working on risk  measurement research.\u003c\/p\u003e\u003cdiv class=\"aw-variant-hidden-subtitle-div\" id=\"aw-variant-subtitle-9783838310244\"\u003e\u003ch3\u003eMeasuring Malaysian Equity Market with VaR\u003c\/h3\u003e\u003c\/div\u003e","brand":"Autorenwelt Shop","offers":[{"title":"Softcover - 9783838310244","offer_id":39497053175901,"sku":"9783838310244","price":79.0,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0940\/0622\/files\/f23bd856-f584-4e84-bf2c-3478fe9bda6e.jpg?v=1757742287","url":"https:\/\/shop.autorenwelt.de\/products\/financial-risk-management-von-voon-choong-yap","provider":"Autorenwelt Shop","version":"1.0","type":"link"}