عنوان

The VAR implementation handbook /

007161513X

9780071615136

b753978

The VAR implementation handbook /

[Book]

Greg N. Gregoriou.

Maidenhead :

McGraw-Hill Professional,

2009.

1 online resource (624 pages)

Editor; Contributors; Part One: VaR Measurement; Chapter 1 Calculating VaR for Hedge Funds; Introduction; Hedge Funds; Value at Risk; Data; Results and Discussion; Conclusion; References; Appendix: Strategic Decisions; Chapter 2 Efficient VaR: Using Past Forecast Performance to Generate Improved VaR Forecasts; Introduction; A Backtesting Framework; Using Backtest Results to Recalibrate the Parameters of the VaR Model; Some Examples; Conclusion; References; Appendix; Chapter 3 Applying VaR to Hedge Fund Trading Strategies: Limitations and Challenges; Introduction; Background.

Analytical ApproachApplication Considerations; Impact of VaR Control; Short versus Long History for Setting VaR Risk Limits; Implications; Conclusion; References; Chapter 4 Cash Flow at Risk: Linking Strategy and Finance; Introduction; A Process View of the Corporate Risk Management Function; Value-Based Motives of Firm-Level Risk Management; The Incompatibility of Simple Value at Risk with Corporate Risk Management; Operationalizing CFaR; Governance Implications; Conclusion; References; Chapter 5 Plausible Operational Value-at-Risk Calculations for Management Decision Making; Introduction.

Chapter 7 Explaining Cross-Sectional Differences in Credit Default Swap Spreads: An Alternative Approach Using Value at RiskIntroduction; Estimation Methodology; Data and Explanatory Variables; Empirical Results; Conclusion; References; Chapter 8 Some Advanced Approaches to VaR Calculation and Measurement; Introduction; Parametric VaR and the Normal Distribution; Using Historical Simulation to Compute VaR; The Delta Method for Computing VaR; The Monte Carlo Simulation; The Bootstrapping Method; Cornish-Fisher Expansion and VaR.

Operational Risk under Basel IIDesirable Side Effects of Operational Risk Initiatives; Toward Strategy-Enhancing Operational Risk Initiatives; Employment of Real Option Techniques in Operational Risk Initiatives; Conclusion; References; Chapter 6 Value-at-Risk Performance Criterion: A Performance Measure for Evaluating Value-at-Risk Models; Introduction; Value-at-Risk Performance Criterion (VPC); Effects of Changing Volatility and Return Distribution; Conclusion; References.

Value at Risk for a Distribution Other Than the Normal but Using a Normal CoefficientCopulas, Fourier's Transform, and the VaR; Conclusion; References; Chapter 9 Computational Aspects of Value at Risk; Introduction; Supercomputing Technologies; Graphics Processing Unit Computing; An Example; Conclusion; References; Part Two: Risk and Asset Management; Chapter 10 Value-at-Risk-Based Stop-Loss Trading; Introduction; Stop-Loss Rules for Alternative Return Processes; Some Well-known Strategies; Conditional Autocorrelation: Threshold Autoregressive Models; Conclusion; References.

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"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."--Jacket.

MIL

OverDrive, Inc.

203162

9761F4C4-0664-4888-B643-B22BB85C8BCC

Asset-liability management-- Simulation methods.

Asset-liability management.

Financial risk management-- Simulation methods.

Financial risk management.

Asset-liability management.

Financial risk management.

Gregoriou, Greg N.,1956-

20201204133143.0

pn

[Book]

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