Problems Of Value At Risk A Critical View
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Problems Of Value At Risk A Critical View
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Author : Alexander Melichar
language : en
Publisher: GRIN Verlag
Release Date : 2010-11-26
Problems Of Value At Risk A Critical View written by Alexander Melichar and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-11-26 with Business & Economics categories.
Seminar paper from the year 2009 in the subject Business economics - Controlling, grade: 1,5, University of Innsbruck (Institut für Banken und Finanzen), course: Seminar SBWL Risk Management, language: English, abstract: This seminar paper is divided in the following chapters: 1. Definition of Value at Risk: What is VaR, several definitions of this figure. 2. The three common approaches for calculating Value at Risk: Historical simulation, Monte Carlo simulation, Variance-Covariance model. 3. The critical view: Problems and limitations of Value at Risk. Which approach can be meaningfully used and when not? Why is Value at Risk not the “only truth” in financial institutions? What are the strengths and weaknesses of the several approaches in calculating Value at Risk?
Concept Of Value At Risk Var
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Author : Fabian Kremer
language : en
Publisher: GRIN Verlag
Release Date : 2013-08-23
Concept Of Value At Risk Var written by Fabian Kremer and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-08-23 with Business & Economics categories.
Seminar paper from the year 2013 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 2,0, University of Hohenheim, language: English, abstract: How is it possible to manage or measure such a hard to defining term like „risk“? To solve this problem and giving stakeholders a tool to measure their individual risk or to compare it, an empirical risk measurer called „Value at Risk“ is used in practice. The main task of this work is to introduce the concept of Value at Risk and giving an overview about the concept itself, its problems and its use in practice.
Mastering Value At Risk
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Author : Cormac Butler
language : en
Publisher: Financial Times/Prentice Hall
Release Date : 1999
Mastering Value At Risk written by Cormac Butler and has been published by Financial Times/Prentice Hall this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Business & Economics categories.
Value at Risk (VAR) is rapidly emerging as the dominant methodology for estimating precisely how much money is at risk each day in the financial markets. This book provides an objective view of VAR, analyzing its pitfalls and benefits.
Bubble Value At Risk
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Author : Max C. Y. Wong
language : en
Publisher: John Wiley & Sons
Release Date : 2013-01-30
Bubble Value At Risk written by Max C. Y. Wong 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 2013-01-30 with Business & Economics categories.
Introduces a powerful new approach to financial risk modeling with proven strategies for its real-world applications The 2008 credit crisis did much to debunk the much touted powers of Value at Risk (VaR) as a risk metric. Unlike most authors on VaR who focus on what it can do, in this book the author looks at what it cannot. In clear, accessible prose, finance practitioners, Max Wong, describes the VaR measure and what it was meant to do, then explores its various failures in the real world of crisis risk management. More importantly, he lays out a revolutionary new method of measuring risks, Bubble Value at Risk, that is countercyclical and offers a well-tested buffer against market crashes. Describes Bubble VaR, a more macro-prudential risk measure proven to avoid the limitations of VaR and by providing a more accurate risk exposure estimation over market cycles Makes a strong case that analysts and risk managers need to unlearn our existing "science" of risk measurement and discover more robust approaches to calculating risk capital Illustrates every key concept or formula with an abundance of practical, numerical examples, most of them provided in interactive Excel spreadsheets Features numerous real-world applications, throughout, based on the author’s firsthand experience as a veteran financial risk analyst
Acceptable Evidence
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Author : Deborah G. Mayo
language : en
Publisher: Oxford University Press
Release Date : 1994-02-17
Acceptable Evidence written by Deborah G. Mayo and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994-02-17 with Science categories.
Discussions of science and values in risk management have largely focused on how values enter into arguments about risks, that is, issues of acceptable risk. Instead this volume concentrates on how values enter into collecting, interpreting, communicating, and evaluating the evidence of risks, that is, issues of the acceptability of evidence of risk. By focusing on acceptable evidence, this volume avoids two barriers to progress. One barrier assumes that evidence of risk is largely a matter of objective scientific data and therefore uncontroversial. The other assumes that evidence of risk, being "just" a matter of values, is not amenable to reasoned critique. Denying both extremes, this volume argues for a more constructive conclusion: understanding the interrelations of scientific and value issues enables a critical scrutiny of risk assessments and better public deliberation about social choices. The contributors, distinguished philosophers, policy analysts, and natural and social scientists, analyze environmental and medical controversies, and assumptions underlying views about risk assessment and the scientific and statistical models used in risk management.
The Var Modeling Handbook Practical Applications In Alternative Investing Banking Insurance And Portfolio Management
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Author : Greg N. Gregoriou
language : en
Publisher: McGraw Hill Professional
Release Date : 2010-02-22
The Var Modeling Handbook Practical Applications In Alternative Investing Banking Insurance And Portfolio Management written by Greg N. Gregoriou and has been published by McGraw Hill Professional this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-02-22 with Business & Economics categories.
Value-at-Risk (VaR) is a powerful tool for assessing market risk in real time—a critical insight when making trading and hedging decisions. The VaR Modeling Handbook is the most complete, up-to-date reference on the subject for today’s savvy investors, traders, portfolio managers, and other asset and risk managers. Unlike market risk metrics such as the Greeks, or beta, which are applicable to only certain asset categories and sources of market risk, VaR is applicable to all liquid assets, making it a reliable indicator of total market risk. For this reason, among many others, VaR has become the dominant method for estimating precisely how much money is at risk each day in the financial markets. The VaR Modeling Handbook is a profound volume that delivers practical information on measuring and modeling risk specifically focused on alternative investments, banking, and the insurance sector. The perfect primer to The VaR Implementation Handbook (McGraw- Hill), this foundational resource features The experience of 40 internationally recognized experts Useful perspectives from a wide range of practitioners, researchers, and academics Coverage on applying VaR to hedge fund strategies, microcredit loan portfolios, and economic capital management approaches for insurance companies Each illuminating chapter in The VaR Modeling Handbook presents a specific topic, complete with an abstract and conclusion for quick reference, as well as numerous illustrations that exemplify covered material. Practitioners can gain in-depth, cornerstone knowledge of VaR by reading the handbook cover to cover or take advantage of its user-friendly format by using it as a go-to resource in the real world. Financial success in the markets requires confident decision making, and The VaR Modeling Handbook gives you the knowledge you need to use this state-of-the-art modeling method to successfully manage financial risk.
Risk Management
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Author : Antonio Borghesi
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-10-05
Risk Management written by Antonio Borghesi and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-10-05 with Business & Economics categories.
The increasingly risky environment in which companies operate is characterized by a rising number of risk components, factors, sources, and drivers. The identification, evaluation, and management of these risks require the capability to coordinate various skills within a company and in upstream and downstream relationships. This handbook provides an integrated approach to the assessment, transfer, and communication of critical risks and highlights emerging methodologies that can help to protect businesses from adverse events and their effects. It explains how different risk management perspectives should be combined, and in particular how the corporate governance vision should be integrated with the perspectives of operations management, financial management, and business continuity management. In this sense the handbook provides concrete directions on how to develop a risk management team and culture, taking into account business challenges and employing appropriate managerial tools.
Risk Management And Value Creation In Financial Institutions
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Author : Gerhard Schroeck
language : en
Publisher: John Wiley & Sons
Release Date : 2002-10-01
Risk Management And Value Creation In Financial Institutions written by Gerhard Schroeck 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 2002-10-01 with Business & Economics categories.
An analysis of the links between risk management and value creation Risk Management and Value Creation in Financial Institutions explores a variety of methods that can be utilized to create economic value at financial institutions. This invaluable resource shows how banks can use risk management to create value for shareholders, addresses the advantages of risk-adjusted return on capital (RAROC) measures, and develops the foundations for a model to identify comparative advantages that emerge as a result of risk-management decisions. It is the only book needed for banking executives interested in the relationship between risk management and value creation.
Powering The Digital Economy Opportunities And Risks Of Artificial Intelligence In Finance
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Author : El Bachir Boukherouaa
language : en
Publisher: International Monetary Fund
Release Date : 2021-10-22
Powering The Digital Economy Opportunities And Risks Of Artificial Intelligence In Finance written by El Bachir Boukherouaa and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-10-22 with Business & Economics categories.
This paper discusses the impact of the rapid adoption of artificial intelligence (AI) and machine learning (ML) in the financial sector. It highlights the benefits these technologies bring in terms of financial deepening and efficiency, while raising concerns about its potential in widening the digital divide between advanced and developing economies. The paper advances the discussion on the impact of this technology by distilling and categorizing the unique risks that it could pose to the integrity and stability of the financial system, policy challenges, and potential regulatory approaches. The evolving nature of this technology and its application in finance means that the full extent of its strengths and weaknesses is yet to be fully understood. Given the risk of unexpected pitfalls, countries will need to strengthen prudential oversight.
Risk And Decision Analysis In Projects
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Author : John R. Schuyler
language : en
Publisher:
Release Date : 2001
Risk And Decision Analysis In Projects written by John R. Schuyler and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Business & Economics categories.
Some of Schuyler's tried-and-true tips include: - The single-point estimate is almost always wrong, so that it is always better to express judgments as ranges. A probability distribution completely expresses someone's judgment about the likelihood of values within the range.- We often need a single-value cost or other assessment, and the expected value (mean) of the distribution is the only unbiased predictor. Expected value is the probability-weighted average, and this statistical idea is the cornerstone of decision analysis.- Some decisions are easy, perhaps aided by quick decision tree calculations on the back of an envelope. Decision dilemmas typically involve risky outcomes, many factors, and the best alternatives having comparable value. We only need analysis sufficient to confidently identify the best alternative. As soon as you know what to do, stop the analysis!- Be alert to ways to beneficially change project risks. We can often eliminate, avoid, transfer, or mitigate threats in some way. Get to know the people who make their living helping managers sidestep risk. They include insurance agents, partners, turnkey contractors, accountants, trainers, and safety personnel.