| Description |
xxx, 528 pages : illustrations ; 24 cm |
| Series |
[McGraw-Hill finance & investing] |
|
McGraw-Hill finance & investing.
|
| Contents |
Calculating VaR for hedge funds / Monica Billio, Mila Getmansky, and Loriana Pelizzon -- Efficient VaR : using past forecast performance to generate improved VaR forecasts / Kevin Dowd and Carlos Blanco -- Applying VaR to hedge fund trading strategies : limitations and challenges / R. McFall Lamm Jr. -- Cash flow at risk : linking strategy and finance / Ulrich Hommel -- Plausible operational value-at-risk calculations for management decision making / Wilhelm Kross, Ulrich Hommel, and Martin Wiethuechter -- Value-at-risk performance criterion : a performance measure for evaluating value-at-risk models / Zeno Adams and Roland Füss -- Explaining cross-sectional differences in credit default swap spreads : an alternative approach using value at risk / Bastian Breitenfellner and Niklas Wagner -- Some advanced approaches to VaR calculation and measurement / François-Éric Racicot and Raymond Théoret -- Computational aspects of value at risk / Germán Navarro and Ignacio Olmeda -- Value-at-risk-based stop-loss trading / Bernd Scherer -- Modeling portfolio risks with time-dependent default rates in venture capital / Andreas Kemmerer, Jan Rietzschel, and Henry Schoenball -- Risk aggregation and computation of total economic capital / Peter Grundke -- Value at risk for high-dimensional portfolios : a dynamic grouped t-copula approach / Dean Fantazzini -- A model to measure portfolio risks in venture capital / Andreas Kemmerer -- Risk measures and their applications in asset management / S. Ilker Birbil ... [et al.] -- Risk evaluation of sectors traded at the ISE with VaR analysis / Mehmet Orhan and Gökhan Karaahmet -- Aggregating and combining ratings / Rafael Wei€bach, Frederik Kramer, and Claudia Lawrenz -- Risk-mananging the uncertainty in VaR model parameters / Jason C. Hsu and Vitali Kalesnik -- Structural credit modeling and its relationship to market value at risk : an Australian sectoral perspective / David E. Allen and Robert Powell -- Model risk in VAR calculations / Peter Schaller -- Option pricing with constant and time-varying volatility / Willi Semmler and Karim M. Youssef -- Value at risk under heterogeneous investment horizons and spatial relations / Viviana Fernandez -- How investors face financial risk loss aversion and wealth allocation with two-dimensional individual utility : a VaR application / Erick W. Rengifo and Emanuela Trifan |
| Summary |
"For investors, risk is about the odds of losing money, and Value at Risk (VaR) is grounded in that common sense fact. An investor using VaR modeling needs to ask these questions: "What is my worst-case scenario?" and "How much could I lose in a really bad month?"" "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 tool for 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, and managing risk - in three convenient sections." --Book Jacket |
| Notes |
Series from jacket |
| Bibliography |
Includes bibliographical references and index |
| Subject |
Asset-liability management -- Simulation methods.
|
|
Asset-liability management.
|
|
Financial risk management -- Simulation methods.
|
|
Financial risk management.
|
| Author |
Gregoriou, Greg N., 1956-
|
| LC no. |
2010277624 |
| ISBN |
007161513X (hbk.) |
|
9780071615136 (hbk.) |
|
