Beyond value at risk: the new science of risk management
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.
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THE RISK MANAGEMENT REVOLUTION
Developments in Risk Management
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approximation asset assume assumptions business units call option capital requirements CFaR Chapter confidence interval confidence level counterparty credit exposure credit risk data set decision default risk delta delta hedge delta-gamma approach delta-normal depends derivatives positions equity estimate exchange rate expected return figures firm firm's fixed-income forecasts generalised Sharpe give handle hedge position holding period HS approach institutions instruments interest rates interest-rate investment issues IVaR Jorion leverage linear liquidity risk market risks maximum loss measure normal approach normal distribution operational risks option position parameters particular portfolio return portfolio standard deviation position limits principal components problem procedure profits RAROC regulations regulatory relative relevant required return risk factors risk management risk-adjusted RiskMetrics scenario analysis senior management Sharpe ratio Sharpe rule simulation standard deviation stress testing swap tail traders underlying price value at risk variables variance variance-covariance matrix Zangari zero zero-coupon bond