Approximations For The Value At Risk Approach To Risk Return Analysis

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Approximations for the Value-at-Risk Approach to Risk-Return Analysis

Author : Dirk Tasche
Publisher :
ISBN 13 :
Total Pages : 22 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Approximations for the Value-at-Risk Approach to Risk-Return Analysis by : Dirk Tasche

Download or read book Approximations for the Value-at-Risk Approach to Risk-Return Analysis written by Dirk Tasche and published by . This book was released on 2014 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: An evergreen debate in Finance concerns the rules for making portfolio hedge decisions. A traditional tool proposed in the literature is the well-known standard deviation based Sharpe Ratio, which has been recently generalized in order to involve also other popular risk measures p, such as VaR (Value-at-Risk) or CVaR (Conditional Value at Risk). This approach gives the correct choice of portfolio selection in a mean-p world as long as p is homogeneous of order 1. But, unfortunately, in important cases calculating the exact incremental Sharpe Ratio for ranking profitable portfolios turns out to be computationally too costly. Therefore, more easy-to-use rules for a rapid portfolio selection are needed. The research in this direction for VaR is just the aim of the paper. Approximation formulae are carried out which are based on certain derivatives of VaR and involve quantities similar to the skewness and kurtosis of the random variables under consid-eration. Starting point for the approximations is the observation that the partial derivatives of portfolio VaR with respect to the portfolio weights are just the conditional expectations of the asset returns given that the portfolio return equals VaR. Since the conditional expec-tation of a random variable Y given another random variable X can be considered the best possible regression of Y versus X in least squares sense, the idea is to replace the conditional expectation by polynomial regression or, more generally, by finite-dimensional regression of Y versus X. In case of the variables obeying an elliptical joint distribution, the resulting approximation formulae coincide with the exact formula for the standard deviation taken as risk measure. By means of a number of numerical examples and counter-examples the properties of the formulae are discussed.

Measuring Market Risk with Value at Risk

Author : Pietro Penza
Publisher : John Wiley & Sons
ISBN 13 : 9780471393139
Total Pages : 324 pages
Book Rating : 4.3/5 (931 download)

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Book Synopsis Measuring Market Risk with Value at Risk by : Pietro Penza

Download or read book Measuring Market Risk with Value at Risk written by Pietro Penza and published by John Wiley & Sons. This book was released on 2001 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This book, Measuring Market Risk with Value at Risk by Vipul Bansal and Pietro Penza, has three advantages over earlier works on the subject. First, it takes a decidedly global approach-an essential ingredient for any comprehensive work on market risk. Second, it ties the scientifically grounded, yet intuitively appealing, VaR measure to earlier, more idiosyncratic measures of market risk that are used in specific market environs (e.g., duration in fixed income). Finally, it encompasses all of the accepted approaches to calculating a VaR measure and presents them in a clearly explained fashion with supporting illustrations and completely worked-out examples." -from the Foreword by John F. Marshall, PhD, Principal, Marshall, Tucker & Associates, LLC "Measuring Market Risk with Value at Risk offers a much-needed intellectual bridge, a translation from the esoteric realm of mathematical finance to the domain of financial managers who seek guidance in applying developments from this important field of research as well as that of MBA-level graduate instruction. I believe the authors have done a commendable job of providing a carefully crafted, highly readable, and most useful work, and intend to recommend it to all those involved in business risk management applications." -Anthony F. Herbst, PhD, Professor of Finance and C.R. and D.S. Carter Chair, The University of Texas, El Paso and Founding editor of The Journal of Financial Engineering (1991-1998) "Finally there's a book that strikes a balance between rigor and application in the area of risk management in the banking industry. This innovative book is a MUST for both novices and professionals alike." -Robert P. Yuyuenyongwatana, PhD, Associate Professor of Finance, Cameron University "Measuring Market Risk with Value at Risk is one of the most complete discussions of this emerging topic in finance that I have seen. The authors develop a logical and rigorous framework for using VaR models, providing both historical references and analytical applications." -Kevin Wynne, PhD, Associate Professor of Finance, Lubin School of Business, Pace University

Market Risk Analysis, Value at Risk Models

Author : Carol Alexander
Publisher : John Wiley & Sons
ISBN 13 : 0470997885
Total Pages : 503 pages
Book Rating : 4.4/5 (79 download)

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Book Synopsis Market Risk Analysis, Value at Risk Models by : Carol Alexander

Download or read book Market Risk Analysis, Value at Risk Models written by Carol Alexander and published by John Wiley & Sons. This book was released on 2009-02-09 with total page 503 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by leading market risk academic, Professor Carol Alexander, Value-at-Risk Models forms part four of the Market Risk Analysis four volume set. Building on the three previous volumes this book provides by far the most comprehensive, rigorous and detailed treatment of market VaR models. It rests on the basic knowledge of financial mathematics and statistics gained from Volume I, of factor models, principal component analysis, statistical models of volatility and correlation and copulas from Volume II and, from Volume III, knowledge of pricing and hedging financial instruments and of mapping portfolios of similar instruments to risk factors. A unifying characteristic of the series is the pedagogical approach to practical examples that are relevant to market risk analysis in practice. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM . Empirical examples and case studies specific to this volume include: Parametric linear value at risk (VaR)models: normal, Student t and normal mixture and their expected tail loss (ETL); New formulae for VaR based on autocorrelated returns; Historical simulation VaR models: how to scale historical VaR and volatility adjusted historical VaR; Monte Carlo simulation VaR models based on multivariate normal and Student t distributions, and based on copulas; Examples and case studies of numerous applications to interest rate sensitive, equity, commodity and international portfolios; Decomposition of systematic VaR of large portfolios into standard alone and marginal VaR components; Backtesting and the assessment of risk model risk; Hypothetical factor push and historical stress tests, and stress testing based on VaR and ETL.

Comparative Analysis of Value at Risk (VAR) Methods for Portfolio with Non-Linear Return

Author : Manohar Lal
Publisher :
ISBN 13 :
Total Pages : 14 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Comparative Analysis of Value at Risk (VAR) Methods for Portfolio with Non-Linear Return by : Manohar Lal

Download or read book Comparative Analysis of Value at Risk (VAR) Methods for Portfolio with Non-Linear Return written by Manohar Lal and published by . This book was released on 2013 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this study various value at risk methods such as Historical Simulation, Variance-Covariance Approach and Monte Carlo Simulation are calculated, compared and tested for accuracy. Backtesting for the VaR methods is applied to check the accuracy of the VaR methods. The portfolio includes equally weighted three banking stock and one at-the-money (ATM) call option for one of the banking stock in the portfolio. The log return for the portfolio and individual investments are calculated. Different VaR calculation methods are used to calculate the downside risk of the portfolio and individual investments. VaR is calculated at 95% and 99% confidence level for the portfolio and individual securities. The value at risk for the portfolio at 95% confidence level from all the three methods are within the defined level of downside risk, while at 99% confidence level only Mote Carlo Simulation method provides good approximation of downside risk for a portfolio with options. Thus from this study it is inferred that for instrument or portfolio with non-linear return structure Monte Carlo simulation method provide good approximation of the downside risk.

Analytical Approaches to Calculating Value-at-risk of a Quadratic Approximation of a Stock and Options Portfolio

Author : Daniel Xiaochen Wang
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (134 download)

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Book Synopsis Analytical Approaches to Calculating Value-at-risk of a Quadratic Approximation of a Stock and Options Portfolio by : Daniel Xiaochen Wang

Download or read book Analytical Approaches to Calculating Value-at-risk of a Quadratic Approximation of a Stock and Options Portfolio written by Daniel Xiaochen Wang and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Risk and Portfolio Analysis

Author : Henrik Hult
Publisher : Springer Science & Business Media
ISBN 13 : 146144103X
Total Pages : 343 pages
Book Rating : 4.4/5 (614 download)

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Book Synopsis Risk and Portfolio Analysis by : Henrik Hult

Download or read book Risk and Portfolio Analysis written by Henrik Hult and published by Springer Science & Business Media. This book was released on 2012-07-20 with total page 343 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investment and risk management problems are fundamental problems for financial institutions and involve both speculative and hedging decisions. A structured approach to these problems naturally leads one to the field of applied mathematics in order to translate subjective probability beliefs and attitudes towards risk and reward into actual decisions. In Risk and Portfolio Analysis the authors present sound principles and useful methods for making investment and risk management decisions in the presence of hedgeable and non-hedgeable risks using the simplest possible principles, methods, and models that still capture the essential features of the real-world problems. They use rigorous, yet elementary mathematics, avoiding technically advanced approaches which have no clear methodological purpose and are practically irrelevant. The material progresses systematically and topics such as the pricing and hedging of derivative contracts, investment and hedging principles from portfolio theory, and risk measurement and multivariate models from risk management are covered appropriately. The theory is combined with numerous real-world examples that illustrate how the principles, methods, and models can be combined to approach concrete problems and to draw useful conclusions. Exercises are included at the end of the chapters to help reinforce the text and provide insight. This book will serve advanced undergraduate and graduate students, and practitioners in insurance, finance as well as regulators. Prerequisites include undergraduate level courses in linear algebra, analysis, statistics and probability.

Risk-Return Analysis, Volume 2: The Theory and Practice of Rational Investing

Author : Harry M. Markowitz
Publisher : McGraw Hill Professional
ISBN 13 : 0071830103
Total Pages : 400 pages
Book Rating : 4.0/5 (718 download)

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Book Synopsis Risk-Return Analysis, Volume 2: The Theory and Practice of Rational Investing by : Harry M. Markowitz

Download or read book Risk-Return Analysis, Volume 2: The Theory and Practice of Rational Investing written by Harry M. Markowitz and published by McGraw Hill Professional. This book was released on 2016-05-27 with total page 400 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Nobel Prize-winning Father of Modern Portfolio Theory returns with new insights on his classic work to help you build a lasting portfolio today Contemporary investing as we know it would not exist without these two words: “Portfolio selection.” Though it may not seem revolutionary today, the concept of examining and purchasing many diverse stocks—creating a portfolio—changed the face of finance when Harry M. Markowitz devised the idea in 1952. In the past six decades, Markowitz has risen to international acclaim as the father of Modern Portfolio Theory (MPT), with his evaluation of the impact of asset risk, diversification, and correlation in the risk-return tradeoff. In defending the idea that portfolio risk was essential to strategic asset growth, he showed the world how to invest for the long-run in the face of any economy. In Risk Return Analysis, this groundbreaking four-book series, the legendary economist and Nobel Laureate returns to revisit his masterpiece theory, discuss its developments, and prove its vitality in the ever-changing global economy. Volume 2 picks up where the first volume left off, with Markowitz’s personal reflections and current strategies. In this volume, Markowitz focuses on the relationship between single-period choices—now—and longer run goals. He discusses dynamic systems and models, the asset allocation “glide-path,” inter-generational investment needs, and financial decision support systems. Written with both the academic and the practitioner in mind, this richly illustrated volume provides investors, economists, and financial advisors with a refined look at MPT, highlighting the rational decision-making and probability beliefs that are essential to creating and maintaining a successful portfolio today.

Value at Risk, 3rd Ed., Part III - Value-at-Risk Systems

Author : Philippe Jorion
Publisher : McGraw Hill Professional
ISBN 13 : 0071731601
Total Pages : 135 pages
Book Rating : 4.0/5 (717 download)

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Book Synopsis Value at Risk, 3rd Ed., Part III - Value-at-Risk Systems by : Philippe Jorion

Download or read book Value at Risk, 3rd Ed., Part III - Value-at-Risk Systems written by Philippe Jorion and published by McGraw Hill Professional. This book was released on 2006-10-19 with total page 135 pages. Available in PDF, EPUB and Kindle. Book excerpt: This chapter comes from Value at Risk, the industry standard in risk management. Now in its Third Edition, this international bestseller addresses the fundamental changes in the field that have occurred across the globe in recent years. Philippe Jorion provides the most current information needed to understand and implement VAR-as well as manage newer dimensions of financial risk.

Risk-Return Analysis: The Theory and Practice of Rational Investing (Volume One)

Author : Harry M. Markowitz
Publisher : McGraw Hill Professional
ISBN 13 : 0071817948
Total Pages : 270 pages
Book Rating : 4.0/5 (718 download)

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Book Synopsis Risk-Return Analysis: The Theory and Practice of Rational Investing (Volume One) by : Harry M. Markowitz

Download or read book Risk-Return Analysis: The Theory and Practice of Rational Investing (Volume One) written by Harry M. Markowitz and published by McGraw Hill Professional. This book was released on 2013-09-06 with total page 270 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Nobel Prize-winning Father of Modern Portfolio Theory re-introduces his theories for the current world of investing Legendary economist Harry M. Markowitz provides the insight and methods you need to build a portfolio that generates strong returns for the long run In Risk-Return Analysis, Markowitz corrects common misunderstandings about Modern Portfolio Theory (MPT) to help advanced financial practitioners dramatically improve their decision making. In this first volume of a groundbreaking four-part series sure to draw the attention of anyone interested in MPT, Markowitz provides the criteria necessary for judging among risk-measures; surveys a half-century of literature (nearly all of which has been ignored by textbooks) on the applicability of MPT; and presents an empirical study of which functions of mean and some risk-measure is best for those who seek to maximize return in the long run. Harry M. Markowitz is a Nobel Laureate and the father of Modern Portfolio Theory.

Value at Risk, 3rd Ed.

Author : Philippe Jorion
Publisher : McGraw Hill Professional
ISBN 13 : 0071736921
Total Pages : 624 pages
Book Rating : 4.0/5 (717 download)

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Book Synopsis Value at Risk, 3rd Ed. by : Philippe Jorion

Download or read book Value at Risk, 3rd Ed. written by Philippe Jorion and published by McGraw Hill Professional. This book was released on 2006-11-09 with total page 624 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since its original publication, Value at Risk has become the industry standard in risk management. Now in its Third Edition, this international bestseller addresses the fundamental changes in the field that have occurred across the globe in recent years. Philippe Jorion provides the most current information needed to understand and implement VAR-as well as manage newer dimensions of financial risk. Featured updates include: An increased emphasis on operational risk Using VAR for integrated risk management and to measure economic capital Applications of VAR to risk budgeting in investment management Discussion of new risk-management techniques, including extreme value theory, principal components, and copulas Extensive coverage of the recently finalized Basel II capital adequacy rules for commercial banks, integrated throughout the book A major new feature of the Third Edition is the addition of short questions and exercises at the end of each chapter, making it even easier to check progress. Detailed answers are posted on the companion web site www.pjorion.com/var/. The web site contains other materials, including additional questions that course instructors can assign to their students. Jorion leaves no stone unturned, addressing the building blocks of VAR from computing and backtesting models to forecasting risk and correlations. He outlines the use of VAR to measure and control risk for trading, for investment management, and for enterprise-wide risk management. He also points out key pitfalls to watch out for in risk-management systems. The value-at-risk approach continues to improve worldwide standards for managing numerous types of risk. Now more than ever, professionals can depend on Value at Risk for comprehensive, authoritative counsel on VAR, its application, and its results-and to keep ahead of the curve.

The Measurement of Market Risk

Author : Pierre-Yves Moix
Publisher : Springer Science & Business Media
ISBN 13 : 364256481X
Total Pages : 281 pages
Book Rating : 4.6/5 (425 download)

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Book Synopsis The Measurement of Market Risk by : Pierre-Yves Moix

Download or read book The Measurement of Market Risk written by Pierre-Yves Moix and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 281 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a revised version of my doctoral dissertation submitted to the University of St. Gallen in October 1999. I would like to thank Dr. oec. Marc Wildi whose careful reading of much of the text led to many improvements. All errors remain mine. Pfiiffikon SZ, Switzerland, March 2001 Pierre-Yves Moix Preface to the dissertation "Education is man's going forward from cocksure ignorance to thoughtful uncertainty" Don Clark's Scrapbook quoted in Wonnacott and Wonnacott (1990). After several years of banking practice, I decided to give up some of my certitudes and considered this thesis project a good opportunity to study some of the quantitative tools necessary for the modelling of uncertainty. lowe very much to Prof. Dr. Karl Frauendorfer, the referee of my thesis, for the time he took to read the manuscript and for the numerous valuable suggestions he made. I am also very grateful to Prof. Dr. Klaus Spremann who kindly accepted to co-refer my thesis and who strengthened my inter est in finance during my study period. During my time at the Institute for Operations Research of the University of St. Gallen (lfU-HSG) I had the opportunity to participate in the project "RiskLab" which provides a very profitable link between finance practice and academics. I would especially like to thank Dr. Christophe Rouvinez from Credit Suisse for his comments and all the data he provided so generously.

Statistical Modeling Using Local Gaussian Approximation

Author : Dag Tjøstheim
Publisher : Academic Press
ISBN 13 : 0128154454
Total Pages : 460 pages
Book Rating : 4.1/5 (281 download)

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Book Synopsis Statistical Modeling Using Local Gaussian Approximation by : Dag Tjøstheim

Download or read book Statistical Modeling Using Local Gaussian Approximation written by Dag Tjøstheim and published by Academic Press. This book was released on 2021-10-05 with total page 460 pages. Available in PDF, EPUB and Kindle. Book excerpt: Statistical Modeling using Local Gaussian Approximation extends powerful characteristics of the Gaussian distribution, perhaps, the most well-known and most used distribution in statistics, to a large class of non-Gaussian and nonlinear situations through local approximation. This extension enables the reader to follow new methods in assessing dependence and conditional dependence, in estimating probability and spectral density functions, and in discrimination. Chapters in this release cover Parametric, nonparametric, locally parametric, Dependence, Local Gaussian correlation and dependence, Local Gaussian correlation and the copula, Applications in finance, and more. Additional chapters explores Measuring dependence and testing for independence, Time series dependence and spectral analysis, Multivariate density estimation, Conditional density estimation, The local Gaussian partial correlation, Regression and conditional regression quantiles, and a A local Gaussian Fisher discriminant. Reviews local dependence modeling with applications to time series and finance markets Introduces new techniques for density estimation, conditional density estimation, and tests of conditional independence with applications in economics Evaluates local spectral analysis, discovering hidden frequencies in extremes and hidden phase differences Integrates textual content with three useful R packages

Measuring Market Risk

Author : Kevin Dowd
Publisher : John Wiley & Sons
ISBN 13 : 0470016515
Total Pages : 410 pages
Book Rating : 4.4/5 (7 download)

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Book Synopsis Measuring Market Risk by : Kevin Dowd

Download or read book Measuring Market Risk written by Kevin Dowd and published by John Wiley & Sons. This book was released on 2007-01-11 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fully revised and restructured, Measuring Market Risk, Second Edition includes a new chapter on options risk management, as well as substantial new information on parametric risk, non-parametric measurements and liquidity risks, more practical information to help with specific calculations, and new examples including Q&A’s and case studies.

Calculating Value-at-Risk

Author : William J. Fallon
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Calculating Value-at-Risk by : William J. Fallon

Download or read book Calculating Value-at-Risk written by William J. Fallon and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The market risk of a portfolio refers to the possibility of financial loss due to the joint movement of systematic economic variables such as interest and exchange rates. Quantifying market risk is important to regulators in assessing solvency and to risk managers in allocating scarce capital. Moreover, market risk is often the central risk faced by financial institutions. The standard method for measuring market risk places a conservative, one-sided confidence interval on portfolio losses for short forecast horizons. This bound on losses is often called capital-at-risk or value-at-risk (VAR), for obvious reasons. Calculating the VAR or any similar risk metric requires a probability distribution of changes in portfolio value. In most risk management models, this distribution is derived by placing assumptions on (1) how the portfolio function is approximated, and (2) how the state variables are modeled. Using this framework, we first review four methods for measuring market risk. We then develop and illustrate two new market risk measurement models that use a second-order approximation to the portfolio function and a multivariate GARCH(l,1) model for the state variables. We show that when changes in the state variables are modeled as conditional or unconditional multivariate normal, first-order approximations to the portfolio function yield a univariate normal for the change in portfolio value while second-order approximations yield a quadratic normal. Using equity return data and a hypothetical portfolio of options, we then evaluate the performance of all six models by examining how accurately each calculates the VAR on an out-of-sample basis. We find that our most general model is superior to all others in predicting the VAR. In additional empirical tests focusing on the error contribution of each of the two model components, we find that the superior performance of our most general model is largely attributable to the use of the second-order approximation, and that the first-order approximations favored by practitioners perform quite poorly. Empirical evidence on the modeling of the state variables is mixed but supports usage of a model which reflects non-linearities in state variable return distributions.

The Known, the Unknown, and the Unknowable in Financial Risk Management

Author : Francis X. Diebold
Publisher : Princeton University Press
ISBN 13 : 0691128839
Total Pages : 392 pages
Book Rating : 4.6/5 (911 download)

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Book Synopsis The Known, the Unknown, and the Unknowable in Financial Risk Management by : Francis X. Diebold

Download or read book The Known, the Unknown, and the Unknowable in Financial Risk Management written by Francis X. Diebold and published by Princeton University Press. This book was released on 2010-05-09 with total page 392 pages. Available in PDF, EPUB and Kindle. Book excerpt: A clear understanding of what we know, don't know, and can't know should guide any reasonable approach to managing financial risk, yet the most widely used measure in finance today--Value at Risk, or VaR--reduces these risks to a single number, creating a false sense of security among risk managers, executives, and regulators. This book introduces a more realistic and holistic framework called KuU --the K nown, the u nknown, and the U nknowable--that enables one to conceptualize the different kinds of financial risks and design effective strategies for managing them. Bringing together contributions by leaders in finance and economics, this book pushes toward robustifying policies, portfolios, contracts, and organizations to a wide variety of KuU risks. Along the way, the strengths and limitations of "quantitative" risk management are revealed. In addition to the editors, the contributors are Ashok Bardhan, Dan Borge, Charles N. Bralver, Riccardo Colacito, Robert H. Edelstein, Robert F. Engle, Charles A. E. Goodhart, Clive W. J. Granger, Paul R. Kleindorfer, Donald L. Kohn, Howard Kunreuther, Andrew Kuritzkes, Robert H. Litzenberger, Benoit B. Mandelbrot, David M. Modest, Alex Muermann, Mark V. Pauly, Til Schuermann, Kenneth E. Scott, Nassim Nicholas Taleb, and Richard J. Zeckhauser. Introduces a new risk-management paradigm Features contributions by leaders in finance and economics Demonstrates how "killer risks" are often more economic than statistical, and crucially linked to incentives Shows how to invest and design policies amid financial uncertainty

The VaR Modeling Handbook: Practical Applications in Alternative Investing, Banking, Insurance, and Portfolio Management

Author : Greg N. Gregoriou
Publisher : McGraw Hill Professional
ISBN 13 : 0071713646
Total Pages : 418 pages
Book Rating : 4.0/5 (717 download)

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Book Synopsis The VaR Modeling Handbook: Practical Applications in Alternative Investing, Banking, Insurance, and Portfolio Management by : Greg N. Gregoriou

Download or read book The VaR Modeling Handbook: Practical Applications in Alternative Investing, Banking, Insurance, and Portfolio Management written by Greg N. Gregoriou and published by McGraw Hill Professional. This book was released on 2010-02-22 with total page 418 pages. Available in PDF, EPUB and Kindle. Book excerpt: Value-at-Risk (VaR) is a powerful tool for assessing market risk in real time—a critical insight when making trading and hedging decisions. The VaR Modeling Handbook is the most complete, up-to-date reference on the subject for today’s savvy investors, traders, portfolio managers, and other asset and risk managers. Unlike market risk metrics such as the Greeks, or beta, which are applicable to only certain asset categories and sources of market risk, VaR is applicable to all liquid assets, making it a reliable indicator of total market risk. For this reason, among many others, VaR has become the dominant method for estimating precisely how much money is at risk each day in the financial markets. The VaR Modeling Handbook is a profound volume that delivers practical information on measuring and modeling risk specifically focused on alternative investments, banking, and the insurance sector. The perfect primer to The VaR Implementation Handbook (McGraw- Hill), this foundational resource features The experience of 40 internationally recognized experts Useful perspectives from a wide range of practitioners, researchers, and academics Coverage on applying VaR to hedge fund strategies, microcredit loan portfolios, and economic capital management approaches for insurance companies Each illuminating chapter in The VaR Modeling Handbook presents a specific topic, complete with an abstract and conclusion for quick reference, as well as numerous illustrations that exemplify covered material. Practitioners can gain in-depth, cornerstone knowledge of VaR by reading the handbook cover to cover or take advantage of its user-friendly format by using it as a go-to resource in the real world. Financial success in the markets requires confident decision making, and The VaR Modeling Handbook gives you the knowledge you need to use this state-of-the-art modeling method to successfully manage financial risk.

Value at Risk Based on Fuzzy Numbers

Author : Maria Letizia Guerra
Publisher : Infinite Study
ISBN 13 :
Total Pages : 15 pages
Book Rating : 4./5 ( download)

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Book Synopsis Value at Risk Based on Fuzzy Numbers by : Maria Letizia Guerra

Download or read book Value at Risk Based on Fuzzy Numbers written by Maria Letizia Guerra and published by Infinite Study. This book was released on with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: Value at Risk (VaR) has become a crucial measure for decision making in risk management over the last thirty years and many estimation methodologies address the finding of the best performing measure at taking into account unremovable uncertainty of real financial markets. One possible and promising way to include uncertainty is to refer to the mathematics of fuzzy numbers and to its rigorous methodologies which offer flexible ways to read and to interpret properties of real data which may arise in many areas. The paper aims to show the effectiveness of two distinguished models to account for uncertainty in VaR computation; initially, following a non parametric approach, we apply the Fuzzy-transform approximation function to smooth data by capturing fundamental patterns before computing VaR.