The VaR Implementation Handbook
(Sprache: Englisch)
The latest strategies for applying the newscience of risk management
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The latest strategies for applying the newscience of risk management
Klappentext zu „The VaR Implementation Handbook “
[flap]For investors, risk is about the odds of losing money, and Value at Risk (VaR) is grounded in that common-sense fact. VAR modeling answers, "What is my worst-case scenario?" and "How much could I lose in a really bad month?"
However, there has not been an effective guidebook available to help investors and financial managers make their own VaR calculations--until now.
The VaR Implementation Handbook is a hands-on road map for professionals who have a solid background in VaR but need the critical strategies, models, and insights to apply their knowledge in the real world.
Heralded as "the new science of risk management," VaR has emerged as the dominant methodology used by financial institutions and corporate treasuries worldwide for estimating precisely how much money is at risk each day in the financial markets. The VaR Implementation Handbook picks up where other books on the subject leave off and demonstrates how, with proper implementation, VaR can be a valuable toolfor assessing risk in a variety of areas-from equity to structured and operational products.
This complete guide thoroughly covers the three major areas of VaR implementation--measuring, modeling risk, and managing--in three convenient sections. Savvy professionals will keep this handbook at their fingertips for its:
Reliable advice from 40 recognized experts working in universities and financial institutions around the world
Effective methods and measures to ensure that implemented VaR models maintain optimal performance
Up-to-date coverage on newly exposed areas of volatility, including derivatives
Real-world prosperity requires making informed financial decisions. The VaR Implementation Handbook is a step-by-step playbook to getting the most out of VaR modeling so you can successfully manage financial risk.
Inhaltsverzeichnis zu „The VaR Implementation Handbook “
1. Efficient VaR2. Corporate VaR
3. Operational Value-at-Risk
4. VaR Performance Criterion (VPC)
5. Cross-Sectional Differences
6. Advanced Approaches to Calculation
7. Computational Aspects of VaR
8. Bayesian Tail Probabilities
9. Modeling Portfolio Risks
10. Computation of Economic Capital
11. High-Dimensional Portfolios
12. Measuring Portfolio Risks in Venture Capital
13. Evaluation of Sectors Traded on the ISE with VaR Analysis
14. Risk Measures in Portfolio Optimization
15. Modeling Parameter Uncertainty
16. Employing VaR Management Systems
17. Aggregating and Combining Ratings
18. A Critique of Value-at-Risk Models
19. Credit Derivatives
20. Modeling risk in VAR Estimates
21. Heterogeneous Investments Horizons
22. How Investors Face Financial Risk Loss Aversion and Wealth Allocation
23. Dynamical Models for the Value at Risk
Autoren-Porträt von Greg N. Gregoriou
GREG N. GREGORIOU is Assistant Professor of Finance and coordinator of faculty research in the School of Business and Economics at the State University of New York (Plattsburgh). He received his BA in economics from Concordia University and his MBA and PhD in finance from the University of Quebec at Montreal. He is an associate with the Peritus Group in Montreal and the hedge fund editor and an editorial board member for Derivatives Use, Trading and Regulation (London). Gregoriou has published over forty articles on hedge funds and CTAs for peer-reviewed publications such as the Journal of Futures Markets, European Journal of Operational Research, Annals of Operations Research, European Journal of Finance, and Journal of Asset Management. He is coauthor or coeditor of three books on hedge funds and CTAs: Performance Evaluation of Hedge Funds; Hedge Funds: Strategies, Risk Assessment, and Returns; and Commodity Trading Advisors: Risk, Performance Analysis, and Selection (Wiley).
Bibliographische Angaben
- Autor: Greg N. Gregoriou
- 2009, 528 Seiten, Maße: 16 x 23,5 cm, Gebunden, Englisch
- Ed. by Greg N. Gregoriou
- Herausgegeben: Greg N. Gregoriou
- Verlag: McGraw-Hill Professional
- ISBN-10: 007161513X
- ISBN-13: 9780071615136
Sprache:
Englisch
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