The VaR Modeling Handbook: Practical Applications in Alternative Investing, Banking, Insurance, and Portfolio Management / Edition 1

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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

  • The experience of 40 internationally recognized experts
  • Useful perspectives from a wide range of practitioners, researchers,
    and academics
  • Coverage on applying VaR to hedge fund strategies, microcredit loan portfolios, and economic capital management approaches for insurance companies

Each illuminating chapter in The VaR Modeling
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
gives you the knowledge you need to use this state-of-the-art modeling method to successfully manage financial risk.

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Product Details

  • ISBN-13: 9780071625159
  • Publisher: McGraw-Hill Professional Publishing
  • Publication date: 5/12/2009
  • Edition number: 1
  • Pages: 416
  • Product dimensions: 6.20 (w) x 9.10 (h) x 1.40 (d)

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.

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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

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