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- Product code: 5794
- ISBN: 189933226X,
ISBN13: 9781899332267,
397 pages, paperback
Published by Risk Books, 1st edition, 1997
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Description of VAR |
This book consists of 46 key papers on the value-at-risk approach to financial risk management, including:
- Understanding and communicating the VAR concept
- Strengths and weaknesses of different methodologies
- Portfolio VAR and applications to options
- Implementing and improving VAR methodologies - new research
- Case studies in corporate applications
It opens with a series of clearly written articles from RISK magazine introducing the VAR concept, and explaining why VAR has rapdily become a standard measure of risk in the financial industry. Building on this, the second group of articles reveals why some researchers think the approach is 'seductive but dangerous' - leading to unavoidable trade-offs between accuracy, speed and simplicity. Leading experts discuss how banks can assess risk in VAR, and discuss what VAR means in a regulatory context.
The next section presents new research into these problems, including assessments of VAR analytics, VAR and factor-based scenario analysis, and how to evaluate 'accuracy versus computational time'. Here, risk managers will discover detailed examples of how to apply VAR to complex interest rate and currency portfolios, as well as new ways of extending risk analysis beyond VAR.
The final set of articles collects real-world examples of VAR applications, showing how VAR can be used to increase shareholder value and promote enterprise-wide risk management.
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Contents of VAR |
1. Introducing VAR
Introduction
Variations on a Theme
How to Calculate VAR
The Right VAR
Banks Grasp the VAR Nettle
The Right Approach
Quality Control
Operating Procedures
2. Assessing VAR
Introduction
How Safe is RiskMetrics?
A Transparent Tool
Optional Extras
Expect the Worst
Model Risk
Improving on VAR
More Haste, Less Precision
Why VAR is in Vogue
Margins of Error
VAR: Seductive but Dangerous
Report Card on Value-at-Risk: High Potential but Slow Starter
Valule-at-Risk: New Approaches to Risk Management
Value-at-Risk: A New Methodology for Measuring Portfolio Risk
Evaluation of Value-at-Risk Models using Historical Data
Bank Capital and Value-at-Risk
Risk2: Measuring the Risk in Value-at-Risk
Techniques for Verifying the Accuracy of Risk Management Models
3. Selecting and Improving VAR Methodologies: New Research
Introduction
Beyond VAR and Stress Testing
VAR Analytics: Portfolio Structure, Key Rate Convexities and VAR Betas
Evaluating Value-at-Risk Methodologies: Accuracy versus Computational Time
Value-at-Risk: Implementing a Risk Measurement Standard
Principles of Risk: Finding VAR through Factor-Based Interest Rate Scenarios
Scrambled Nets for Value-at-Risk Calculations
The Value-at-Risk Approach: Proposals on a Generalisation Quadric Maximum Loss
The Value-at-Risk of a Portfolio of Currency Derivatives under Worst-Case Distributional Assumptions
4. Corporate Applications and Firmwide Risk Management
Introduction
What is VAR?
Handle with Sensitivity
VAR as an Industrial Tool
VAR for Corporates
Investors' Return on VAR
VAR(MD) = LAR
Veba's Way with VAR
VAR with Muscles
Not so Simple for Siemens
Crossing the Divide
Taking it from the Top
Together They Stand
Total Enterprise-wide Risk Management
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