The VaR Modeling Handbook: Practical Applications in Alternative Investing, Banking, Insurance, and Portfolio Management
(Sprache: Englisch)
Value-at-Risk (VaR) is a powerful toolfor assessing market risk in real time-a critical insight when making trading andhedging decisions. The VaR Modeling Handbook is the most complete, up-to-date reference onthe subject for today's savvy investors,...
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Klappentext zu „The VaR Modeling Handbook: Practical Applications in Alternative Investing, Banking, Insurance, and Portfolio Management “
Value-at-Risk (VaR) is a powerful toolfor assessing market risk in real time-a critical insight when making trading andhedging decisions. The VaR Modeling Handbook is the most complete, up-to-date reference onthe subject for today's savvy investors, traders,portfolio managers, and other asset and riskmanagers.Unlike market risk metrics such as the Greeks,or beta, which are applicable to only certainasset categories and sources of market risk,VaR is applicable to all liquid assets, makingit a reliable indicator of total market risk. Forthis reason, among many others, VaR has becomethe dominant method for estimatingprecisely how much money is at risk each dayin the financial markets.
The VaR Modeling Handbook is a profoundvolume that delivers practical informationon measuring and modeling risk specificallyfocused on alternative investments, banking,and the insurance sector. The perfect primerto The VaR Implementation Handbook (McGraw-Hill), this foundational resource features
The experience of 40 internationallyrecognized experts
Useful perspectives from a widerange of practitioners, researchers,and academics
Coverage on applying VaR to hedgefund strategies, microcredit loanportfolios, and economic capitalmanagement approaches for insurancecompanies
Each illuminating chapter in The VaR ModelingHandbook presents a specific topic, completewith an abstract and conclusion for quick reference, as well as numerous illustrations thatexemplify covered material. Practitioners cangain in-depth, cornerstone knowledge of VaRby reading the handbook cover to cover ortake advantage of its user-friendly format byusing it as a go-to resource in the real world.
Financial success in the markets requires confidentdecision making, and The VaR ModelingHandbook gives you the knowledge you needto use this state-of-the-art modeling methodto successfully manage financial risk.
Inhaltsverzeichnis zu „The VaR Modeling Handbook: Practical Applications in Alternative Investing, Banking, Insurance, and Portfolio Management “
Section 1: Alternative Investments And Optimization1: Asset Allocation For Hedge FundStrategies
2: Estimating Value-At-Risk OfInstitutional Portfolios With Alternative Asset Classes
3: Optimal Allocations Based On The Modified VaR vs. Utility-Based Risk Measure
4: Using VaR For Optimizing AndHedging Portfolios
Section 2: Banking and Insurance Sector Applications
5: Capital Standards And Risk Alignment In Banking Firms 6: Risk Return Optimization
7: A Practitioner's Critique OfValue-At-Risk Models
8: VaR For A MicrocreditLoan Portfolio
9: Allocation Of Economic CapitalIn Banking:
10: Capital Requirement Calculation Of A General InsuranceUndertaking
11: Economic Capital ManagementFor Insurance Companies
12: Solvency II
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, 392 Seiten, mit Abbildungen, Maße: 16,2 x 23,3 cm, Gebunden, Englisch
- Ed. by Greg N. Gregoriou
- Verlag: McGraw-Hill Professional
- ISBN-10: 0071625151
- ISBN-13: 9780071625159
Sprache:
Englisch
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