The VaR Modeling Handbook: Practical Applications in Alternative Investing, Banking, Insurance, and Portfolio Management (PROFESSIONAL FINANCE & INVESTM) - Hardcover

Gregoriou, Greg N.

Hardcover

ISBN 10: 0071625151 ISBN 13: 9780071625159

Publisher: McGraw Hill, 2009

Synopsis

Value-at-Risk (VaR) is a powerful toolfor assessing market risk in real time―a critical insight when making trading andhedging decisions. The VaR Modeling Handbookis the most complete, up-to-date reference onthe subject for today’s savvy investors, traders,portfolio managers, and other asset and riskmanagers.

Unlike market risk metrics such as the Greeks,or beta, which are applicable to only certainasset categories and sources of market risk,VaR is applicable to all liquid assets, makingit a reliable indicator of total market risk. Forthis reason, among many others, VaR has becomethe dominant method for estimatingprecisely how much money is at risk each dayin the financial markets.

The VaR Modeling Handbook is a profoundvolume that delivers practical informationon measuring and modeling risk specificallyfocused on alternative investments, banking,and the insurance sector. The perfect primerto The VaR Implementation Handbook (McGraw-Hill), this foundational resource features

• The experience of 40 internationallyrecognized experts
• Useful perspectives from a widerange of practitioners, researchers,and academics
• Coverage on applying VaR to hedgefund strategies, microcredit loanportfolios, and economic capitalmanagement approaches for insurancecompanies

Each illuminating chapter in The VaR ModelingHandbook presents a specific topic, completewith an abstract and conclusion for quick reference, as well as numerous illustrations thatexemplify covered material. Practitioners cangain in-depth, cornerstone knowledge of VaRby reading the handbook cover to cover ortake advantage of its user-friendly format byusing it as a go-to resource in the real world.

Financial success in the markets requires confidentdecision making, and The VaR ModelingHandbook gives you the knowledge you needto use this state-of-the-art modeling methodto successfully manage financial risk.

About this title

From the Back Cover:

The most complete guide to measuring and modeling risk in the real world

"The problems tackled in the papers collected here are both important and subtle, and they cover a surprisingly broad range of issues."
--Barry Schachter, Director of Quantitative Resources, Moore Capital Management

"The use of VaR as a risk metric was adopted globally under the 1996 Basel II amendment. Much interest and research in this broad field of risk management followed on its properties as a risk metric and portfolio optimizer. A ttention was focused on tail risk and CVaR as extensions to the approach. The latest research on these issues is brilliantly captured in this volume edited by Gregoriou."
--Professor D.E. Allen, School of Accounting, Finance and Economics, Edith Cowan University

"I would highly recommend this book to everyone looking for a comprehensive and up-to-date synthesis of research in risk management."
--Dr. Bartosz Gebka, Professor of Finance, Newcastle University Business School

"This exquisitely edited volume shows a vast array of applications . . . ranging from alternative investments to Solvency II, and also introduces advanced calculation models that go beyond the standard value-at-risk approach and, hence, highlights how to deal with the caveats of this measure."
--Dr. Dieter Kaiser, Director of Hedge Funds, Feri Institutional Advisors GmbH

"This timely book contains new research in the vast area of value-at-risk, and will be invaluable for sophisticated and institutional investors and money managers."
--Fabrice Douglas Rouah, Vice President and Senior Quantitative Analyst, Enterprise Risk Management, State Street Corporation

About the Author:

Greg N. Gregoriou is professor of finance in the School of Business and Economics at State University of New York (Plattsburgh). He has published 25 books and is coeditor for the peer-reviewed Journal of Derivatives and Hedge Funds and editorial board member for the Journal of Wealth Management, Journal of Risk Management in Financial Institutions, and Brazilian Business Review.

About this edition

• Publisher: McGraw Hill
• Publication date: 2009
• ISBN 10: 0071625151
• ISBN 13: 9780071625159
• Binding: Hardcover
• Number of pages: 416