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More About This Textbook
Overview
Value-at-Risk (VaR) is a powerful tool
for assessing market risk in real time—
a critical insight when making trading and
hedging decisions. The VaR Modeling Handbook
is the most complete, up-to-date reference on
the subject for today’s savvy investors, traders,
portfolio managers, and other asset and risk
managers.
Unlike market risk metrics such as the Greeks,
or beta, which are applicable to only certain
asset categories and sources of market risk,
VaR is applicable to all liquid assets, making
it a reliable indicator of total market risk. For
this reason, among many others, VaR has become
the dominant method for estimating
precisely how much money is at risk each day
in the financial markets.
The VaR Modeling Handbook is a profound
volume that delivers practical information
on measuring and modeling risk specifically
focused on alternative investments, banking,
and the insurance sector. The perfect primer
to The VaR Implementation Handbook (McGraw-
Hill), this foundational resource features
recognized experts
range of practitioners, researchers,
and academics
fund strategies, microcredit loan
portfolios, and economic capital
management approaches for insurance
companies
Each illuminating chapter in The VaR Modeling
Handbook presents a specific topic, complete
with an abstract and conclusion for quick reference, as well as numerous illustrations that
exemplify covered material. Practitioners can
gain in-depth, cornerstone knowledge of VaR
by reading the handbook cover to cover or
take advantage of its user-friendly format by
using it as a go-to resource in the real world.
Financial success in the markets requires confident
decision making, and The VaR Modeling
Handbook gives you the knowledge you need
to use this state-of-the-art modeling method
to successfully manage financial risk.
Product Details
Related Subjects
Meet the Author
Greg N. Gregoriou is professor of finance
in the School of Business and Economics at
State University of New York (Plattsburgh).
He has published 25 books and is coeditor
for the peer-reviewed Journal of Derivatives
and Hedge Funds and editorial board member
for the Journal of Wealth Management, Journal of
Risk Management in Financial Institutions, and
Brazilian Business Review.
Table of Contents
Section 1: Alternative Investments And Optimization
1: Asset Allocation For Hedge FundStrategies
2: Estimating Value-At-Risk OfInstitutional Portfolios With Alternative Asset Classes
3: Optimal Allocations Based On The Modified VaR vs. Utility-Based Risk Measure
4: Using VaR For Optimizing AndHedging Portfolios
Section 2: Banking and Insurance Sector Applications
5: Capital Standards And Risk Alignment In Banking Firms 6: Risk Return Optimization
7: A Practitioner's Critique OfValue-At-Risk Models
8: VaR For A MicrocreditLoan Portfolio
9: Allocation Of Economic CapitalIn Banking:
10: Capital Requirement Calculation Of A General InsuranceUndertaking
11: Economic Capital ManagementFor Insurance Companies
12: Solvency II