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More About This Textbook
Overview
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
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