An edition of The VaR implementation handbook (2009)

The VaR implementation handbook

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Cover of: The VaR implementation handbook by Greg N. Gregoriou
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February 10, 2023 | History
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An edition of The VaR implementation handbook (2009)

The VaR implementation handbook

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Publish Date
Publisher
McGraw-Hill
Language
English
Pages
528

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Previews available in: English

Subjects
Risikomanagement, Asset-liability management, Investeringen, Financial risk management, Portfolio-Management, Value at Risk, Beleggingen, Simulation methods, Versicherung, Risicoanalyse, Bank

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Edition Availability
Cover of: The VaR implementation handbook
The VaR implementation handbook
2009, McGraw-Hill
in English
  • Not in Library
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Book Details

Published in

New York

Table of Contents

Calculating VaR for hedge funds / Monica Billio, Mila Getmansky, and Loriana Pelizzon
Efficient VaR : using past forecast performance to generate improved VaR forecasts / Kevin Dowd and Carlos Blanco
Applying VaR to hedge fund trading strategies : limitations and challenges / R. McFall Lamm Jr.
Cash flow at risk : linking strategy and finance / Ulrich Hommel
Plausible operational value-at-risk calculations for management decision making / Wilhelm Kross, Ulrich Hommel, and Martin Wiethuechter
Value-at-risk performance criterion : a performance measure for evaluating value-at-risk models / Zeno Adams and Roland Füss
Explaining cross-sectional differences in credit default swap spreads : an alternative approach using value at risk / Bastian Breitenfellner and Niklas Wagner
Some advanced approaches to VaR calculation and measurement / François-Éric Racicot and Raymond Théoret
Computational aspects of value at risk / Germán Navarro and Ignacio Olmeda
Value-at-risk-based stop-loss trading / Bernd Scherer
Modeling portfolio risks with time-dependent default rates in venture capital / Andreas Kemmerer, Jan Rietzschel, and Henry Schoenball
Risk aggregation and computation of total economic capital / Peter Grundke
Value at risk for high-dimensional portfolios : a dynamic grouped t-copula approach / Dean Fantazzini
A model to measure portfolio risks in venture capital / Andreas Kemmerer
Risk measures and their applications in asset management / S. Ilker Birbil ... [et al.]
Risk evaluation of sectors traded at the ISE with VaR analysis / Mehmet Orhan and Gökhan Karaahmet
Aggregating and combining ratings / Rafael Wei€bach, Frederik Kramer, and Claudia Lawrenz
Risk-mananging the uncertainty in VaR model parameters / Jason C. Hsu and Vitali Kalesnik
Structural credit modeling and its relationship to market value at risk : an Australian sectoral perspective / David E. Allen and Robert Powell
Model risk in VAR calculations / Peter Schaller
Option pricing with constant and time-varying volatility / Willi Semmler and Karim M. Youssef
Value at risk under heterogeneous investment horizons and spatial relations / Viviana Fernandez
How investors face financial risk loss aversion and wealth allocation with two-dimensional individual utility : a VaR application / Erick W. Rengifo and Emanuela Trifan.

Edition Notes

Series from jacket.

Includes bibliographical references and index.

Series
[McGraw-Hill finance & investing], McGraw-Hill finance & investing

Classifications

Dewey Decimal Class
658.155011
Library of Congress
HG173 .V374 2009, HD61, HG173 .V37 2009

The Physical Object

Pagination
xxx, 528 p. :
Number of pages
528

ID Numbers

Open Library
OL25120286M
Internet Archive
varimplementatio00greg
ISBN 10
007161513X
ISBN 13
9780071615136
LCCN
2010277624
OCLC/WorldCat
302066786

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History

Download catalog record: RDF / JSON / OPDS | Wikipedia citation
February 10, 2023 Edited by BWBImportBot Modified local IDs, source records
January 27, 2023 Edited by ImportBot import existing book
December 26, 2022 Edited by MARC Bot import existing book
December 5, 2022 Edited by ImportBot import existing book
December 7, 2011 Created by LC Bot Imported from Library of Congress MARC record.