An edition of The VaR implementation handbook
(2009)
The VaR implementation handbook
by Greg N. Gregoriou
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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.
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| August 2, 2020 | Edited by ImportBot | import existing book |
| December 7, 2011 | Created by LC Bot | import new book |