عنوان

The VaR implementation handbook

(Number (ISBN

9780071615136 (hbk.) (acid-free paper.)

.Language of Text, Soundtrack etc

لاتين

First Statement of Responsibility

Greg N. Gregoriou, editor

Title Proper

The VaR implementation handbook

Place of Publication, Distribution, etc.

New York

Name of Publisher, Distributor, etc.

McGraw-Hill,

Date of Publication, Distribution, etc.

c2009

Specific Material Designation and Extent of Item

xxx, 528 p.

Series Title

[McGraw-Hill finance & investing]

Text of Note

مرجع به حساب نمي آيد

Text of Note

Includes bibliographical references and index.

Text of Note

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 Fuجess -- 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 / Francجسois-Eجuric Racicot and Raymond Theجuoret -- Computational aspects of value at risk / Germaجun 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 man

Entry Element

Financial risk management

Entry Element

Financial risk management, Simulation methods

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Asset-liability management

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Asset-liability management, Simulation methods

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Investeringen., gtt

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Risicoanalyse., gtt

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Beleggingen., gtt

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Value at Risk, stw

Entry Element

Risikomanagement, stw

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Portfolio-Management, stw

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Bank, stw

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Versicherung, stw

Class number

Entry Element

مولف

Entry Element

Gregoriou, Greg N.,1956-