Value at Risk: Theory and Practice / Edition 1

Value at Risk: Theory and Practice / Edition 1

by Glyn A. Holton
     
 

ISBN-10: 0123540100

ISBN-13: 9780123540102

Pub. Date: 03/20/2003

Publisher: Elsevier Science & Technology Books

Featuring a bottom-up approach, Value-at-Risk builds a systematic knowledge base for high-level VaR users. The author applies linear algebra, probability theory, and time series analyses to design scalable production VaR measures. Practical, detailed examples are drawn from markets around the world, such as: Euro deposits, Pacific Basin equities, physical…  See more details below

Overview

Featuring a bottom-up approach, Value-at-Risk builds a systematic knowledge base for high-level VaR users. The author applies linear algebra, probability theory, and time series analyses to design scalable production VaR measures. Practical, detailed examples are drawn from markets around the world, such as: Euro deposits, Pacific Basin equities, physical coffees, and North American natural gas. Sophisticated techniques are presented in book form for the first time, including: variance reduction for Monte Carlo VaR measures, principal component remappings, and quadratic methods for nonlinear portfolios. Real-world challenges relating to market data, portfolio mappings, multicollinearity, and intra-horizon events are addressed in detail. Exercises reinforce concepts and walk readers step-by-step through sophisticated computations. For practitioners, researchers, and students, Value-at-Risk is the authoritative guide to implementing real-world VaR measures.
About the Author
Glyn A. Holton is an independent consultant specializing in financial risk management. He formed his practice in 1995, and has since worked with hundreds of professionals in implementing value-at-risk and related solutions. Previously, he was a market risk manager for the Bank of Boston, a vice president for Fidelity Investments, and an actuarial associate for Metropolitan Life. He holds a masters degree in mathematics from Temple University.

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Product Details

ISBN-13:
9780123540102
Publisher:
Elsevier Science & Technology Books
Publication date:
03/20/2003
Pages:
408
Product dimensions:
6.10(w) x 9.10(h) x 1.00(d)

Table of Contents

Value-at-Risk; Mathematical Preliminaries; Probability; Statistics and Time Series Analysis; Monte Carlo Method; Market Data; Inference; Primary Mappings; Remappings; Transformations.

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