The VaR modeling handbook / Greg N. Gregoriou, editor.
Material type:
TextSeries: McGraw-Hill finance & investingPublication details: New York : McGraw-Hill, c2009.Description: xxii, 392 p. : ill. ; 24 cmISBN: - 9780071625159 (alk. paper)
- 0071625151 (alk. paper)
- Value-at-risk modeling handbook
- 658.15'5 22
- HG4529 .V37 2009
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| 658.15'11NOR Managerial accounting for managers / | 658.1'5224 AKW Practical steps in raising business finance from banks / | 658.1'54 WEL Budgeting : | 658.15'5 The VaR modeling handbook / | 658.15'5 ALE Market risk analysis : | 658.15'5 AND Managing Risk and Opportunity : | 658.15'5 CAR The handbook of risk management : |
Series from jacket.
Subtitle on jacket: Practical applications in alternative investing, banking, insurance, and portfolio management.
Includes bibliographical references and index.
Asset allocation for hedge fund strategies : how to better manage tail risk / Arjan Berkelaar, Adam Kobor, and Roy Kouwenberg -- Estimating value at risk of institutional portfolios with alternative asset classes / Roy Kouwenberg ... [et al.] -- A comparison between optimal allocations based on the modified VaR and those based on a utility-based risk measure / Laurent Bodson, Alain Cöen, and Georges Hübner -- Using CVaR to optimize and hedge portfolios / Francesco Menoncin -- Value at risk, capital standards, and risk alignment in banking firms / Guy Ford, Tyrone M. Carlin, and Nigel Finch -- The asset-liability management compound option model : a public debt management tool / Jorge A. Chan-Lau and André O. Santos -- A practitioner's critique of value-at-risk models / Robert Dubil -- Value at risk for a microcredit loan portfolio : an African microfinance institution case study / René Azokli, Emmanuel Fragnière, and Akimou Ossé -- Allocation of economic capital in banking : a simulation approach / Hans-Peter Burghof and Jan Müller -- Using tail conditional expectation for capital requirement calculation of a general insurance undertaking / João L.C. Duque, Alfredo D. Egídio dos Reis, and Ricardo Garcia -- Economic capital management for insurance companies / Rossella Bisignani, Giovanni Masala, and Marco Micocci -- Solvency II : an important case in applied VaR / Alfredo D. Egídio dos Reis, Raquel M. Gaspar, and Ana T. Vicente -- Quantile-based tail risk estimation for equity portfolios / John Cotter and Kevin Dowd -- Optimal mixed-asset portfolios / Juliane Proelss and Denis Schweizer -- Value-at-risk-adjusted performance for structured portfolios / Rosa Cocozza.
This book contains new research in the vast area of value at risk, and will be invaluable for sophisticated and intitutional investors and money managers.
aia 05/06/13
Loan
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