000			03496nam a2200421 a 4500
001			2009279451
003			DLC
005			20151013135814.0
008			091117s2009 nyua b 001 0 eng d
010			_a 2009279451
020			_a9780071625159 (alk. paper)
020			_a0071625151 (alk. paper)
035			_a(OCoLC)ocn277205997
040			_aBTCTA _cBTCTA _dYDXCP _dBWX _dGSU _dVGM _dPMC _dCDX _dDLC
050	0	0	_aHG4529 _b.V37 2009
082			_a658.15'5 _222
245	0	4	_aThe VaR modeling handbook / _cGreg N. Gregoriou, editor.
246	3		_aValue-at-risk modeling handbook
260			_aNew York : _bMcGraw-Hill, _cc2009.
300			_axxii, 392 p. : _bill. ; _c24 cm.
440	1		_aMcGraw-Hill finance & investing
500			_aSeries from jacket.
500			_aSubtitle on jacket: Practical applications in alternative investing, banking, insurance, and portfolio management.
504			_aIncludes bibliographical references and index.
505	0		_aAsset 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.
520			_aThis book contains new research in the vast area of value at risk, and will be invaluable for sophisticated and intitutional investors and money managers.
590			_aaia 05/06/13
591			_aLoan
650		0	_aFinancial risk management.
650		0	_aFinancial risk management _xSimulation methods.
650		0	_aAsset-liability management.
650		0	_aAsset-liability management _xSimulation methods.
700	1		_aGregoriou, Greg N., _d1956-
856	4	2	_3Contributor biographical information _uhttp://www.loc.gov/catdir/enhancements/fy1011/2009279451-b.html
856	4	2	_3Publisher description _uhttp://www.loc.gov/catdir/enhancements/fy1011/2009279451-d.html
856	4	1	_3Table of contents only _uhttp://www.loc.gov/catdir/enhancements/fy1011/2009279451-t.html
942			_2ddc _cBOOK
999			_c374 _d374