Synopsis
Value-at-risk (VaR) is a measure of market risk that has been widely adopted since the mid-1990s for use on trading floors. This is the first advanced book published on VaR. It describes how to design, implement, and use scalable production VaR measures on actual trading floors. It takes readers from the basics of VaR to the most advanced techniques, many of which have never been published in book form. 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. It contains exercises which reinforce concepts and walk readers step-by-step through computations.
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About the Author
Glyn A. Holton is an independent consultant specializing in financial risk management. He formed his practice in 1995, and has since worked with hundreds of professionals in implementing value-at-risk and related solutions. Previously, he was a market risk manager for the Bank of Boston, a vice president for Fidelity Investments and an actuarial associate for Metropolitan Life. He holds a masters degree in mathematics from Temple University."
From the Back Cover
"Laudably balancing clarity of exposition, a unified theoretical approach, and analytical rigor, Holton has produced what is bound to become the standard advanced text and reference work on value-at-risk. Seasoned practitioners will find the treatise every bit as useful as new students to the subject."
Christopher L. Culp, University of Chicago
"Glyn Holton's book is a great reference for practitioners and theorists, and an excellent textbook for students of VaR mathematically rigorous and concise, yet lucid and accessible."
Michael K. Ong, Credit Agricole Indosuez
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Value at Risk : Theory and Practice
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Value-at-risk theory and practice
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