Value At Risk

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Implementing Value at Risk

Philip Best
Implementing Value at Risk Book PDF

Author : Philip Best
Publisher : John Wiley & Sons
Page : 224 pages
File Size : 49,8 Mb
Release : 2000-11-21
Category : Business & Economics
ISBN : 9780470865965

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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

Value-at-risk

Glyn A. Holton
Value at risk Book PDF

Author : Glyn A. Holton
Publisher : Unknown
Page : 405 pages
File Size : 49,9 Mb
Release : 2003
Category : Business & Economics
ISBN : 0123540100

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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 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 : 43,9 Mb
Release : 2010-07-26
Category : Business & Economics
ISBN : 0080471064

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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

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 : 51,9 Mb
Release : 2018-02-01
Category : Business & Economics
ISBN : 9783319723204

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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.

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 : 53,5 Mb
Release : 2007-01-11
Category : Business & Economics
ISBN : 9780470033777

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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.

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 : 44,7 Mb
Release : 1999
Category : Business & Economics
ISBN : 0273637525

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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.

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 : 53,9 Mb
Release : 2001
Category : Business & Economics
ISBN : 0471393134

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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

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 : 54,6 Mb
Release : 2009-02-04
Category : Business & Economics
ISBN : 9781405142267

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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.

Enterprise Risk Management Models

David L. Olson,Desheng Wu
Enterprise Risk Management Models Book PDF

Author : David L. Olson,Desheng Wu
Publisher : Springer
Page : 0 pages
File Size : 48,6 Mb
Release : 2014-11-27
Category : Business & Economics
ISBN : 3642441262

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Enterprise Risk Management Models by David L. Olson,Desheng Wu Pdf

Enterprise risk management has always been important. However, the events of the 21st Century have made it even more critical. The top level of business management became suspect after scandals at ENRON, WorldCom, and other business entities. Financially, many firms experienced difficulties from bubbles. The problems of interacting cultures demonstrated risk from terrorism as well, with numerous terrorist attacks, to include 9/11 in the U.S. Risks can arise in many facets of business. Businesses in fact exist to cope with risk in their area of specialization. Financial risk management has focused on banking, accounting, and finance. We have discussed several aspects of risk, to include information systems, disaster management, and supply chain perspectives. The bulk of this book is devoted to presenting a number of operations research models that have been (or could be) applied to enterprise supply risk management, especially from the supply chain perspective.

Risk Management

M. A. H. Dempster
Risk Management Book PDF

Author : M. A. H. Dempster
Publisher : Cambridge University Press
Page : 290 pages
File Size : 53,6 Mb
Release : 2002-01-10
Category : Mathematics
ISBN : 9781139437493

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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.

Beyond Value at Risk

Kevin Dowd
Beyond Value at Risk Book PDF

Author : Kevin Dowd
Publisher : Unknown
Page : 292 pages
File Size : 47,6 Mb
Release : 1998-05-05
Category : Business & Economics
ISBN : UCSC:32106015671701

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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.

VAR

Sue Grayling
VAR Book PDF

Author : Sue Grayling
Publisher : Unknown
Page : 397 pages
File Size : 49,9 Mb
Release : 1997
Category : Financial futures
ISBN : 189933226X

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VAR by Sue Grayling Pdf

A comprehensive reference source on the development and application of VAR in financial institutions and corporations.

Value at Risk, 3rd Ed.

Philippe Jorion
Value at Risk 3rd Ed Book PDF

Author : Philippe Jorion
Publisher : McGraw Hill Professional
Page : 600 pages
File Size : 46,8 Mb
Release : 2006-11-09
Category : Business & Economics
ISBN : 9780071736923

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Value at Risk, 3rd Ed. by Philippe Jorion Pdf

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.

Risk Budgeting

Neil D. Pearson
Risk Budgeting Book PDF

Author : Neil D. Pearson
Publisher : John Wiley & Sons
Page : 242 pages
File Size : 54,8 Mb
Release : 2011-08-31
Category : Business & Economics
ISBN : 9781118160831

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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.

Probabilistic Constrained Optimization

Stanislav Uryasev
Probabilistic Constrained Optimization Book PDF

Author : Stanislav Uryasev
Publisher : Springer Science & Business Media
Page : 319 pages
File Size : 45,5 Mb
Release : 2013-03-09
Category : Mathematics
ISBN : 9781475731507

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Probabilistic Constrained Optimization by Stanislav Uryasev Pdf

Probabilistic and percentile/quantile functions play an important role in several applications, such as finance (Value-at-Risk), nuclear safety, and the environment. Recently, significant advances have been made in sensitivity analysis and optimization of probabilistic functions, which is the basis for construction of new efficient approaches. This book presents the state of the art in the theory of optimization of probabilistic functions and several engineering and finance applications, including material flow systems, production planning, Value-at-Risk, asset and liability management, and optimal trading strategies for financial derivatives (options). Audience: The book is a valuable source of information for faculty, students, researchers, and practitioners in financial engineering, operation research, optimization, computer science, and related areas.