Beyond Value At Risk
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Beyond Value At Risk
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Author : Kevin Dowd
language : en
Publisher:
Release Date : 1998-05-05
Beyond Value At Risk written by Kevin Dowd and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998-05-05 with Business & Economics categories.
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.
Risk Measures Value At Risk And Beyond
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Author : Bernhard Höfler
language : en
Publisher: GRIN Verlag
Release Date : 2007-12-12
Risk Measures Value At Risk And Beyond written by Bernhard Höfler and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-12-12 with Business & Economics categories.
Master's Thesis from the year 2007 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1 (A), University of Graz (Institut für Finanzwirtschaft), language: English, abstract: This thesis provides an exhaustive and well-founded overview of risk measures, in particular of Value at Risk (VaR) and risk measures beyond VaR. Corporations are exposed to different kinds of risks and therefore risk management has become a central task for a successful company. VaR is nowadays widely adapted internationally to measure market risk and is the most frequently used risk measure amongst practitioners due to the fact that the concept offers several advantages. However, VaR also has its drawbacks and hence there have been and still are endeavours to improve VaR and to find better risk measures. In seeking alternative risk measures to try to overcome VaR’s disadvantages, while still keeping its advantages, risk measures beyond VaR were introduced. The most important alternative risk measures such as Tail Conditional Expectation, Worst Conditional Expectation, Expected Shortfall, Conditional VaR, and Expected Tail Loss are presented in detail in the thesis. It has been found that the listed risk measures are very similar concepts of overcoming the deficiencies of VaR and that there is no clear distinction between them in the literature – ‘confusion of tongues’ would be an appropriate expression. Two concepts have become widespread in the literature in recent years: Conditional VaR and Expected Shortfall, however there are situations where it can be seen that these are simply different terms for the same measure. Additionally other concepts are touched upon (Conditional Drawdown at Risk, Expected Regret, Spectral Risk Measures, Distortion Risk Measures, and other risk measures) and modifications of VaR (Conditional Autoregressive VaR, Modified VaR, Stable modelling of VaR) are introduced. Recapitulatory the basic findings of the thesis are that there are numerous sophisticated alternative measures and concepts readily available, that there prevails a ‘confusion of tongues’ with the alternative risk measures in the respective literature and that promising theories and models are on the verge of entering the mainstream financial risk management stage. At the end of the day however neither VaR nor any other introduced risk measure is perfect. There are certain limitations aligned with every method; no single method is the best risk measure.
An Introduction To Value At Risk
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Author : Moorad Choudhry
language : en
Publisher: John Wiley & Sons
Release Date : 2013-08-29
An Introduction To Value At Risk written by Moorad Choudhry and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-08-29 with Business & Economics categories.
The value-at-risk measurement methodology is a widely-used tool in financial market risk management. The fifth 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 Portfolio VaR Credit risk and credit VaR Stressed VaR Critique and VaR during crisis Topics are illustrated with Bloomberg screens, worked examples and exercises. 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 risk measurement techniques. Foreword by Carol Alexander, Professor of Finance, University of Sussex.
Backtesting Value At Risk And Expected Shortfall
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Author : Simona Roccioletti
language : en
Publisher: Springer
Release Date : 2015-12-04
Backtesting Value At Risk And Expected Shortfall written by Simona Roccioletti and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-12-04 with Business & Economics categories.
In this book Simona Roccioletti reviews several valuable studies about risk measures and their properties; in particular she studies the new (and heavily discussed) property of "Elicitability" of a risk measure. More important, she investigates the issue related to the backtesting of Expected Shortfall. The main contribution of the work is the application of "Test 1" and "Test 2" developed by Acerbi and Szekely (2014) on different models and for five global market indexes.
Harnessing Volatility Unveiling Market Risks With Value At Risk
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Author : Pasquale De Marco
language : en
Publisher: Pasquale De Marco
Release Date : 2025-03-10
Harnessing Volatility Unveiling Market Risks With Value At Risk written by Pasquale De Marco and has been published by Pasquale De Marco this book supported file pdf, txt, epub, kindle and other format this book has been release on 2025-03-10 with Business & Economics categories.
In the dynamic realm of financial markets, risk is an ever-present force that investors, portfolio managers, and financial institutions must navigate to achieve their objectives. "Harnessing Volatility: Unveiling Market Risks with Value at Risk" offers a comprehensive guide to market risk management, empowering readers with the knowledge and tools to make informed decisions in the face of uncertainty. This book takes a holistic approach to market risk assessment, introducing the concept of Value at Risk (VaR) as a powerful tool for quantifying and mitigating financial risks. Through clear explanations and practical examples, readers will gain a deep understanding of VaR methodologies, their strengths, and limitations. The book explores the diverse applications of VaR across various financial instruments, including stocks, bonds, commodities, currencies, and derivatives. It equips readers with the expertise to evaluate risk-adjusted returns, optimize portfolio allocations, and implement effective risk management strategies. Furthermore, "Harnessing Volatility" addresses the critical role of risk governance and regulation in shaping market risk management practices. It examines the evolving regulatory landscape, including the Basel Accords and capital requirements, and highlights the importance of establishing a robust risk management framework within organizations. Recognizing the transformative impact of technology, the book explores the potential of artificial intelligence, machine learning, big data analytics, and blockchain technology in enhancing risk assessment and decision-making. It provides insights into how these technologies can be leveraged to improve risk management practices and gain a competitive edge in the financial markets. "Harnessing Volatility" also offers a forward-looking perspective on the future of market risk management. It identifies key trends and challenges, such as climate risk, geopolitical uncertainties, and technological disruptions, and explores how risk managers can adapt and thrive in an increasingly complex financial landscape. With its blend of theoretical rigor and practical insights, "Harnessing Volatility" is an essential resource for investors, risk managers, financial analysts, and students seeking to master the art of market risk management and navigate the complexities of modern financial markets. If you like this book, write a review!
Exotic Derivatives And Risk
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Author : Mondher Bellalah
language : en
Publisher: World Scientific
Release Date : 2009
Exotic Derivatives And Risk written by Mondher Bellalah and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Business & Economics categories.
This book discusses in detail the workings of financial markets and over-the-counter (OTC) markets, focusing specifically on standard and complex derivatives. The subjects covered range from the fundamental products in OTC markets, standard and exotic options, the concepts of value at risk, credit derivatives and risk management, to the applications of option pricing theory to real assets.To further elucidate these complex concepts and formulas, this book also explains in each chapter how theory and practice go hand-in-hand. This volume, a culmination of the author's 12 years of professional experience in the field of finance, derivative analysis and risk management, is a valuable guide for postgraduate students, academics and practitioners in the field of finance.
Value At Risk And Bank Capital Management
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Author : Francesco Saita
language : en
Publisher: Elsevier
Release Date : 2010-07-26
Value At Risk And Bank Capital Management written by Francesco Saita and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-07-26 with Business & Economics categories.
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
Sample Size Skewness And Leverage Effects In Value At Risk And Expected Shortfall Estimation
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Author : Laura García Jorcano
language : en
Publisher: Ed. Universidad de Cantabria
Release Date : 2020-02-24
Sample Size Skewness And Leverage Effects In Value At Risk And Expected Shortfall Estimation written by Laura García Jorcano and has been published by Ed. Universidad de Cantabria this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-02-24 with Business & Economics categories.
The thesis analyzes the effect that the sample size, the asymmetry in the distribution of returns and the leverage in their volatility have on the estimation and forecasting of market risk in financial assets. The goal is to compare the performance of a variety of models for the estimation and forecasting of Value at Risk (VaR) and Expected Shortfall (ES) for a set of assets of different nature: market indexes, individual stocks, bonds, exchange rates, and commodities. The three chapters of the thesis address issues of greatest interest for the measurement of risk in financial institutions and, therefore, for the supervision of risks in the financial system. They deal with technical issues related to the implementation of the Basel Committee's guidelines on some aspects of which very little is known in the academic world and in the specialized financial sector. In the first chapter, a numerical correction is proposed on the values usually estimatedwhen there is little statistical information, either because it is a financial asset (bond, investment fund...) recently created or issued, or because the nature or the structure of the asset or portfolio have recently changed. The second chapter analyzes the relevance of different aspects of risk modeling. The third and last chapter provides a characterization of the preferable methodology to comply with Basel requirements related to the backtesting of the Expected Shortfall.
Beyond Traditional Probabilistic Data Processing Techniques Interval Fuzzy Etc Methods And Their Applications
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Author : Olga Kosheleva
language : en
Publisher: Springer Nature
Release Date : 2020-02-28
Beyond Traditional Probabilistic Data Processing Techniques Interval Fuzzy Etc Methods And Their Applications written by Olga Kosheleva and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-02-28 with Computers categories.
Data processing has become essential to modern civilization. The original data for this processing comes from measurements or from experts, and both sources are subject to uncertainty. Traditionally, probabilistic methods have been used to process uncertainty. However, in many practical situations, we do not know the corresponding probabilities: in measurements, we often only know the upper bound on the measurement errors; this is known as interval uncertainty. In turn, expert estimates often include imprecise (fuzzy) words from natural language such as "small"; this is known as fuzzy uncertainty. In this book, leading specialists on interval, fuzzy, probabilistic uncertainty and their combination describe state-of-the-art developments in their research areas. Accordingly, the book offers a valuable guide for researchers and practitioners interested in data processing under uncertainty, and an introduction to the latest trends and techniques in this area, suitable for graduate students.
On The Validity Of Value At Risk
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Author : Yasuhiro Yamai
language : en
Publisher:
Release Date : 2001
On The Validity Of Value At Risk written by Yasuhiro Yamai and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Investment analysis categories.