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

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The most complete guide to measuring

and modeling risk in the real world

“The problems tackled in the papers collected here are both important and subtle, and they cover

a surprisingly broad range of issues.”

—Barry Schachter, Director of Quantitative Resources, Moore Capital Management

“The use of VaR as a risk metric was adopted globally under the 1996 Basel II amendment.

Much interest and research in this broad field of risk management followed on its properties as

a risk metric and portfolio optimizer. A ttention was focused on tail risk and CVaR as extensions

to the approach. The latest research on these issues is brilliantly captured in this volume

edited by Gregoriou.”

—Professor D.E. Allen, School of Accounting, Finance and Economics,

Edith Cowan University

“I would highly recommend this book to everyone looking for a comprehensive and up-to-date

synthesis of research in risk management.”

—Dr. Bartosz Gebka, Professor of Finance, Newcastle University Business School

“This exquisitely edited volume shows a vast array of applications . . . ranging from alternative

investments to Solvency II , and also introduces advanced calculation models that go beyond

the standard value-at-risk approach and, hence, highlights how to deal with the caveats

of this measure.”

—Dr. Dieter Kaiser, Director of Hedge Funds, Feri Institutional Advisors GmbH

“This timely book contains new research in the vast area of value-at-risk, and will be invaluable

for sophisticated and institutional investors and money managers.”

—Fabrice Douglas Rouah, Vice President and Senior Quantitative Analyst,

Enterprise Risk Management, State Street Corporation

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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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