Liquidity Risk Modeling using Artificial Neural Networks

Liquidity Risk Modeling using Artificial Neural Networks

Basics, Concepts, Methods

LAP Lambert Academic Publishing ( 13.04.2011 )

€ 49,00

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A new element of risk, the liquidity risk, has flourished along this time taking importance and playing a key role in risk management tools. This has attracted the attention of the scientific community and financial experts. Therefore, this book provides a theoretical introduction and a state of the art of the key elements needed to understand the complexity of the dealt issue. Mainly it gives a study over liquidy risk and its application in market risk (being included in VaR measure). It also explores a relatively new alternative approach to model the liquidity risk using artificial neural networks, which has been oriented in focused delay and recurrent neural networks due to their capability to work with time series. That analysis should help shed some light on this new environment and should be useful to professionals in finance.

Детали книги:

ISBN-13:

978-3-8443-2497-6

ISBN-10:

3844324976

EAN:

9783844324976

Язык книги:

English

By (author) :

JORDI PETCHAMÉ SALA

Количество страниц:

116

Опубликовано:

13.04.2011

Категория:

Экономика