The Value Of Risk

The Value Of Risk Book in PDF, ePub and Kindle version is available to download in english. Read online anytime anywhere directly from your device. Click on the download button below to get a free pdf file of The Value Of Risk book. This book definitely worth reading, it is an incredibly well-written.

Implementing Value at Risk

Philip Best
Implementing Value at Risk Book PDF

Author : Philip Best
Publisher : John Wiley & Sons
Page : 224 pages
File Size : 55,5 Mb
Release : 2000-11-21
Category : Business & Economics
ISBN : 9780470865965

Get Book

Implementing Value at Risk by Philip Best Pdf

Implementing Value at Risk Philip Best Value at Risk (VAR) is an estimate of the potential loss on a trading or investment portfolio. Its use has swept the banking world and is now accepted as an essential tool in any risk manager's briefcase. Perhaps the greatest strength of VAR is that it can cope with virtually all financial products, from simple securities through to complex exotic derivatives. This allows the risk taken, across diverse trading activities, to be compared. This said, VAR is no panacea. It is as critical to understand when the use of VAR is inappropriate as it is to understand the value VAR can add to a bank's understanding and control of its risks. This book aims to explain how VAR can be used as an integral part of a risk and business management framework, rather than as a stand-alone tool. The objectives of this book are to explain: What VAR is - and isn't! How to calculate VAR - the three main methods Why stress testing is needed to complement VAR How to make stress testing effective How to use VAR and stress testing to manage risk How to use VAR to improve a bank's performance VAR as a regulatory measure of risk and capital Risk management practitioners, general bank managers, consultants and students of finance and risk management will find this book, and the software package included, an invaluable addition to their library. Finance/Investment

The Value of Risk

Peter Borscheid,David Gugerli,Tobias Straumann
The Value of Risk Book PDF

Author : Peter Borscheid,David Gugerli,Tobias Straumann
Publisher : Oxford University Press
Page : 497 pages
File Size : 47,5 Mb
Release : 2013-12
Category : Business & Economics
ISBN : 9780199689804

Get Book

The Value of Risk by Peter Borscheid,David Gugerli,Tobias Straumann Pdf

This book explains how today's insurance industry developed and highlights the role of the reinsurance industry in spreading risks globally. The book examines the development of insurance markets and of the reinsurance industry in particular, and the history of Swiss Re, one of the leading reinsurance companies in the world.

An Introduction to Value-at-Risk

Moorad Choudhry
An Introduction to Value at Risk Book PDF

Author : Moorad Choudhry
Publisher : John Wiley & Sons
Page : 194 pages
File Size : 46,9 Mb
Release : 2007-01-11
Category : Business & Economics
ISBN : 9780470033777

Get Book

An Introduction to Value-at-Risk by Moorad Choudhry Pdf

The value-at-risk measurement methodology is a widely-used tool in financial market risk management. The fourth edition of Professor Moorad Choudhry’s benchmark reference text An Introduction to Value-at-Risk offers an accessible and reader-friendly look at the concept of VaR and its different estimation methods, and is aimed specifically at newcomers to the market or those unfamiliar with modern risk management practices. The author capitalises on his experience in the financial markets to present this concise yet in-depth coverage of VaR, set in the context of risk management as a whole. Topics covered include: Defining value-at-risk Variance-covariance methodology Monte Carlo simulation Portfolio VaR Credit risk and credit VaR Topics are illustrated with Bloomberg screens, worked examples, exercises and case studies. Related issues such as statistics, volatility and correlation are also introduced as necessary background for students and practitioners. This is essential reading for all those who require an introduction to financial market risk management and value-at-risk.

Value at Risk and Bank Capital Management

Francesco Saita
Value at Risk and Bank Capital Management Book PDF

Author : Francesco Saita
Publisher : Elsevier
Page : 280 pages
File Size : 54,7 Mb
Release : 2010-07-26
Category : Business & Economics
ISBN : 0080471064

Get Book

Value at Risk and Bank Capital Management by Francesco Saita Pdf

Value at Risk and Bank Capital Management offers a unique combination of concise, expert academic analysis of the latest technical VaR measures and their applications, and the practical realities of bank decision making about capital management and capital allocation. The book contains concise, expert analysis of the latest technical VaR measures but without the highly mathematical component of other books. It discusses practical applications of these measures in the real world of banking, focusing on effective decision making for capital management and allocation. The author, Francesco Saita, is based at Bocconi University in Milan, Italy, one of the foremost institutions for banking in Europe. He provides readers with his extensive academic and theoretical expertise combined with his practical and real-world understanding of bank structure, organizational constraints, and decision-making processes. This book is recommended for graduate students in master's or Ph.D. programs in finance/banking and bankers and risk managers involved in capital allocation and portfolio management. Contains concise, expert analysis of the latest technical VaR measures but without the highly mathematical component of other books Discusses practical applications of these measures in the real world of banking, focusing on effective decision making for capital management and allocation Author is based at Bocconi University in Milan, Italy, one of the foremost institutions for banking in Europe

Beyond Value at Risk

Kevin Dowd
Beyond Value at Risk Book PDF

Author : Kevin Dowd
Publisher : Unknown
Page : 292 pages
File Size : 46,9 Mb
Release : 1998-05-05
Category : Business & Economics
ISBN : UCSC:32106015671701

Get Book

Beyond Value at Risk by Kevin Dowd Pdf

Finance/Investment Beyond Value at Risk The New Science of Risk Management A Comprehensive Guide to Value at Risk and Risk Management Risk management and measurement are now, without doubt, the hottest topics in the finance world. Today, quantifying risk management is not only a management tool - but is also used by regulators for banks and finance houses. Beyond Value at Risk provides a comprehensive guide to recent developments and existing approaches to VaR and risk management, going beyond traditional approaches to the subject and offering a new, far-reaching perspective on investment, hedging and portfolio decision-making. The key to this distinctive approach is a new decision rule - the 'Generalised Sharpe Rule', and its practical applications. Beyond Value at Risk provides the answers to key questions, including: * How to implement VaR and related systems in the real world * How to make vital investment decisions and estimate their effect * How to make hedging decisions * How to manage a portfolio It offers financial professionals, academics and students comprehensive coverage of VaR both in theory and practice.

Hands-On Value-at-Risk and Expected Shortfall

Martin Auer
Hands On Value at Risk and Expected Shortfall Book PDF

Author : Martin Auer
Publisher : Springer
Page : 169 pages
File Size : 48,9 Mb
Release : 2018-02-01
Category : Business & Economics
ISBN : 9783319723204

Get Book

Hands-On Value-at-Risk and Expected Shortfall by Martin Auer Pdf

This book describes a maximally simple market risk model that is still practical and main risk measures like the value-at-risk and the expected shortfall. It outlines the model's (i) underlying math, (ii) daily operation, and (iii) implementation, while stripping away statistical overhead to keep the concepts accessible. The author selects and weighs the various model features, motivating the choices under real-world constraints, and addresses the evermore important handling of regulatory requirements. The book targets not only practitioners new to the field but also experienced market risk operators by suggesting useful data analysis procedures and implementation details. It furthermore addresses market risk consumers such as managers, traders, and compliance officers by making the model behavior intuitively transparent. A very useful guide to the theoretical and practical aspects of implementing and operating a risk-monitoring system for a mid-size financial institution. It sets a common body of knowledge to facilitate communication between risk managers, computer and investment specialists by bridging their diverse backgrounds. Giovanni Barone-Adesi — Professor, Universitá della Svizzera italiana This unassuming and insightful book starts from the basics and plainly brings the reader up to speed on both theory and implementation. Shane Hegarty — Director Trade Floor Risk Management, Scotiabank Visit the book’s website at www.value-at-risk.com.

Value-at-risk

Glyn A. Holton
Value at risk Book PDF

Author : Glyn A. Holton
Publisher : Unknown
Page : 405 pages
File Size : 53,9 Mb
Release : 2003
Category : Business & Economics
ISBN : 0123540100

Get Book

Value-at-risk by Glyn A. Holton Pdf

Value-at-risk (VaR) is a measure of market risk that has been widely adopted since the mid-1990s for use on trading floors. It describes how to design, implement, and use scalable production VaR measures on actual trading floors. Practical, detailed examples are drawn from markets around the world, including: Euro deposits, Pacific Basin equities, physical coffees, and North American natural gas. Real-world challenges relating to market data, portfolio mappings, multicollinearity, and intra-horizon events are addressed in detail. Exercises reinforce concepts and walk readers step-by-step through computations. Sophisticated techniques are fully disclosed, including: quadratic ("delta-gamma") methods for nonlinear portfolios, variance reduction (control variates and stratified sampling) for Monte Carlo VaR measures, principal component remappings, techniques to "fix" estimated covariance matrices that are not positive-definite, the Cornish-Fisher expansion, and orthogonal GARCH.

Value and Risk Management

Michael F. Dallas
Value and Risk Management Book PDF

Author : Michael F. Dallas
Publisher : John Wiley & Sons
Page : 400 pages
File Size : 53,9 Mb
Release : 2008-04-15
Category : Technology & Engineering
ISBN : 9780470759424

Get Book

Value and Risk Management by Michael F. Dallas Pdf

Published on behalf of the Chartered Institute of Building and endorsed by a range of construction industry institutes, this book explains the underlying concepts of value and risk, and how they relate to one another. It describes the different issues to be addressed in a variety of circumstances and at all stages of a project's life and reviews a number of commonly used and effective techniques, showing how these may be adapted to suit individuals' styles and circumstances. * Published on behalf of the Chartered Institute of Building with cross-industry institutional support * Combines value and risk management which are often considered, wrongly, in isolation * Makes a complicated subject accessible to a wide audience of construction practitioners * Features checklists and proformas to aid implementation of best practice * Author has extensive practical experience of the subject

Understanding Market, Credit, and Operational Risk

Linda Allen,Jacob Boudoukh,Anthony Saunders
Understanding Market Credit and Operational Risk Book PDF

Author : Linda Allen,Jacob Boudoukh,Anthony Saunders
Publisher : John Wiley & Sons
Page : 312 pages
File Size : 49,6 Mb
Release : 2009-02-04
Category : Business & Economics
ISBN : 9781405142267

Get Book

Understanding Market, Credit, and Operational Risk by Linda Allen,Jacob Boudoukh,Anthony Saunders Pdf

A step-by-step, real world guide to the use of Value at Risk (VaR) models, this text applies the VaR approach to the measurement of market risk, credit risk and operational risk. The book describes and critiques proprietary models, illustrating them with practical examples drawn from actual case studies. Explaining the logic behind the economics and statistics, this technically sophisticated yet intuitive text should be an essential resource for all readers operating in a world of risk. Applies the Value at Risk approach to market, credit, and operational risk measurement. Illustrates models with real-world case studies. Features coverage of BIS bank capital requirements.

Risk Management

M. A. H. Dempster
Risk Management Book PDF

Author : M. A. H. Dempster
Publisher : Cambridge University Press
Page : 290 pages
File Size : 52,6 Mb
Release : 2002-01-10
Category : Mathematics
ISBN : 9781139437493

Get Book

Risk Management by M. A. H. Dempster Pdf

The use of derivative products in risk management has spread from commodities, stocks and fixed income items, to such virtual commodities as energy, weather and bandwidth. All this can give rise to so-called volatility and there has been a consequent development in formal risk management techniques to cover all types of risk: market, credit, liquidity, etc. One of these techniques, Value at Risk, was developed specifically to help manage market risk over short periods. Its success led, somewhat controversially, to its take up and extension to credit risk over longer time-scales. This extension, ultimately not successful, led to the collapse of a number of institutions. The present book, which was originally published in 2002, by some of the leading figures in risk management, examines the complex issues that concern the stability of the global financial system by presenting a mix of theory and practice.

Corporate Value of Enterprise Risk Management

Sim Segal
Corporate Value of Enterprise Risk Management Book PDF

Author : Sim Segal
Publisher : John Wiley & Sons
Page : 439 pages
File Size : 50,9 Mb
Release : 2011-02-11
Category : Business & Economics
ISBN : 9781118023303

Get Book

Corporate Value of Enterprise Risk Management by Sim Segal Pdf

The ultimate guide to maximizing shareholder value through ERM The first book to introduce an emerging approach synthesizing ERM and value-based management, Corporate Value of Enterprise Risk Management clarifies ERM as a strategic business management approach that enhances strategic planning and other decision-making processes. A hot topic in the wake of a series of corporate scandals as well as the financial crisis Looks at ERM as a way to deliver on the promise of balancing risk and return A practical guide for corporate Chief Risk Officers (CROs) and other business professionals seeking to successfully implement ERM ERM is here to stay. Sharing his unique insights and experiences as a recognized global thought leader in this field, author Sim Segal offers world-class guidance on how your business can successfully implement ERM to protect and increase shareholder value.

Risk Budgeting

Neil D. Pearson
Risk Budgeting Book PDF

Author : Neil D. Pearson
Publisher : John Wiley & Sons
Page : 242 pages
File Size : 44,9 Mb
Release : 2011-08-31
Category : Business & Economics
ISBN : 9781118160831

Get Book

Risk Budgeting by Neil D. Pearson Pdf

Institutionelle Anleger, Fonds- und Portfoliomanager müssen Risiken eingehen, wenn sie Spitzengewinne erzielen wollen. Die Frage ist nur wieviel Risiko. "Risk Budgeting: Portfolio Problem Solving with VaR" liefert die Antwort auf diese Frage. Beim Konzept des Risk Budgeting geht es um Risiko- und Kapitalallokation auf der Grundlage erwarteter Erträge und Risiken, mit dem Ziel, höhere Renditen zu erwirtschaften im Rahmen eines vordefinierten Gesamtrisikoniveaus. Mit Hilfe quantitativer Methoden zur Risikomessung, einschließlich der Value at Risk-Methode läßt sich das Risiko ermitteln und bewerten. Value at Risk (VaR) ist ein Verfahren zur Risikobewertung, das Banken ursprünglich zur Messung und Begrenzung von Marktpreisrisiken eingesetzt haben. Heute wird die VaR-Methode auch verstärkt im Risikomanagement eingesetzt. Dieses Buch bietet eine fundierte Einführung in die VaR-Methode sowie in Verfahren zur Risikomessung bei Extremereignissen und Krisenszenarien (Stress Testing). Darüber hinaus erklärt es, wie man mit Hilfe des Risk Budgeting ein effizienteres Portfoliomanagement erreicht. "Risk Budgeting: Portfolio Problem Solving with VaR" ist das einzige Buch auf dem Markt, das Risk Budgeting und VaR - zwei brandaktuelle Themen im Portfoliomanagement - speziell für institutionelle Investment- und Portfolio-Manager aufbereitet. Eine unverzichtbare Lektüre.

Strategy, Value and Risk

J. Rogers
Strategy Value and Risk Book PDF

Author : J. Rogers
Publisher : Springer
Page : 208 pages
File Size : 53,6 Mb
Release : 2013-04-03
Category : Business & Economics
ISBN : 9780230392687

Get Book

Strategy, Value and Risk by J. Rogers Pdf

Updated and revised, the third edition frames strategy as delivering firm value in both the short and long term while maintaining a sustainable competitive advantage. These issues are examined through industry evolution, the rise of the information economy, financial analysis, corporate and quantitative finance, and risk management concepts.

Measuring Market Risk with Value at Risk

Pietro Penza,Vipul K. Bansal
Measuring Market Risk with Value at Risk Book PDF

Author : Pietro Penza,Vipul K. Bansal
Publisher : John Wiley & Sons
Page : 324 pages
File Size : 41,7 Mb
Release : 2001
Category : Business & Economics
ISBN : 0471393134

Get Book

Measuring Market Risk with Value at Risk by Pietro Penza,Vipul K. Bansal Pdf

"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

Mastering Value at Risk

Cormac Butler
Mastering Value at Risk Book PDF

Author : Cormac Butler
Publisher : Financial Times/Prentice Hall
Page : 264 pages
File Size : 49,5 Mb
Release : 1999
Category : Business & Economics
ISBN : 0273637525

Get Book

Mastering Value at Risk by Cormac Butler Pdf

Value at Risk (VAR) is rapidly emerging as the dominant methodology for estimating precisely how much money is at risk each day in the financial markets. This book provides an objective view of VAR, analyzing its pitfalls and benefits.