Implementing Value at Risk

Philip Best

ISBN 10: 0471972053 / ISBN 13: 9780471972051

Published by Wiley, 1999

About this Item

: Este libro explica cómo el Value at Risk (VAR) puede ser utilizado como una parte integral de un marco de gestión de riesgos y de negocios, en lugar de como una herramienta independiente. Los objetivos de este libro son explicar: Qué es y qué no es el VAR. Cómo calcular el VAR: los tres métodos principales. Por qué es necesario realizar pruebas de estrés para complementar el VAR. Cómo hacer que las pruebas de estrés sean efectivas. Cómo utilizar el VAR y las pruebas de estrés para gestionar el riesgo. Cómo utilizar el VAR para mejorar el rendimiento de un banco. El VAR como medida regulatoria de riesgo y capital. Los profesionales de la gestión de riesgos, los gerentes generales de bancos, los consultores y los estudiantes de finanzas y gestión de riesgos encontrarán en este libro, y en el paquete de software incluido, una valiosa adición a su biblioteca. EAN: 9780471972051 Tipo: Libros Categoría: Negocios y Economía Título: Implementing Value at Risk Autor: Philip Best Editorial: John Wiley & Sons Inc Idioma: en Páginas: 250 Formato: tapa dura.

Seller Inventory # Happ-2024-03-19-b351d789

Bibliographic Details

• Title: Implementing Value at Risk
• Publisher: Wiley
• Publication Date: 1999
• Language: Spanish
• ISBN 10: 0471972053
• ISBN 13: 9780471972051
• Binding: Hardcover
• Condition: Como nuevo

About this title

Synopsis

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

About the Author

Philip Best is the author of Implementing Value at Risk, published by Wiley.