ISBN-10:
0470997885
ISBN-13:
9780470997888
Pub. Date:
03/03/2009
Publisher:
Wiley
Market Risk Analysis: Volume IV: Value at Risk Models / Edition 1

Market Risk Analysis: Volume IV: Value at Risk Models / Edition 1

by Carol Alexander

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Product Details

ISBN-13: 9780470997888
Publisher: Wiley
Publication date: 03/03/2009
Series: Wiley Finance Series
Pages: 492
Product dimensions: 6.70(w) x 9.80(h) x 1.30(d)

About the Author

Carol Alexander is a Professor of Risk Management at the ICMA Centre, University of Reading, and Chair of the Academic Advisory Council of the Professional Risk Manager’s International Association (PRMIA). She is the author of Market Models: A Guide to Financial Data Analysis(John Wiley & Sons Ltd, 2001) and has been editor and contributor of a very large number of books in finance and mathematics, including the multi-volume Professional Risk Manager’s Handbook(McGraw-Hill, 2008 and PRMIA Publications). Carol has published nearly 100 academic journal articles, book chapters and books, the majority of which focus on financial risk management and mathematical finance. Professor Alexander is one of the world’s leading authorities on market risk analysis. For further details, see www.icmacentre.rdg.ac.uk/alexander

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Table of Contents

List of Figures.

List of Tables.

List of Examples.

Foreword.

Preface to Volume IV.

IV.1 Value at Risk and Other Risk Metrics.

IV.1.1 Introduction.

IV.1.2 An Overview of Market Risk Assessment.

IV.1.3 Downside and Quantile Risk Metrics.

IV.1.4 Defining Value at Risk.

IV.1.5 Foundations of Value-at-Risk Measurement.

IV.1.6 Risk Factor Value at Risk.

IV.1.7 Decomposition of Value at Risk.

IV.1.8 Risk Metrics Associated with Value at Risk.

IV.1.9 Introduction to Value-at-Risk Models.

IV.1.10 Summary and Conclusions.

IV.2 Parametric Linear VaR Models.

IV.2.1 Introduction.

IV.2.2 Foundations of Normal Linear Value at Risk.

IV.2.3 Normal Linear Value at Risk for Cash-Flow Maps.

IV.2.4 Case Study: PC Value at Risk of a UK Fixed IncomePortfolio.

IV.2.5 Normal Linear Value at Risk for Stock Portfolios.

IV.2.6 Systematic Value-at-Risk Decomposition for StockPortfolios.

IV.2.7 Case Study: Normal Linear Value at Risk for CommodityFutures.

IV.2.8 Student t Distributed Linear Value at Risk.

IV.2.9 Linear Value at Risk with Mixture Distributions.

IV.2.10 Exponential Weighting with Parametric Linear Value atRisk.

IV.2.11 Expected Tail Loss (Conditional VaR).

IV.2.12 Case Study: Credit Spread Parametric Linear Value atRisk and ETL.

IV.2.13 Summary and Conclusions.

IV.3 Historical Simulation.

IV.3.1 Introduction.

IV.3.2 Properties of Historical Value at Risk.

IV.3.3 Improving the Accuracy of Historical Value at Risk.

IV.3.4 Precision of Historical Value at Risk at ExtremeQuantiles.

IV.3.5 Historical Value at Risk for Linear Portfolios.

IV.3.6 Estimating Expected Tail Loss in the HistoricalValue-at-Risk Model.

IV.3.7 Summary and Conclusions.

IV.4 Monte Carlo VaR.

IV.4.1 Introduction.

IV.4.2 Basic Concepts.

IV.4.3 Modelling Dynamic Properties in Risk Factor Returns.

IV.4.4 Modelling Risk Factor Dependence.

IV.4.5 Monte Carlo Value at Risk for Linear Portfolios.

IV.4.6 Summary and Conclusions.

IV.5 Value at Risk for Option Portfolios.

IV.5.1 Introduction.

IV.5.2 Risk Characteristics of Option Portfolios.

IV.5.3 Analytic Value-at-Risk Approximations.

IV.5.4 Historical Value at Risk for Option Portfolios.

IV.5.5 Monte Carlo Value at Risk for Option Portfolios.

IV.5.6 Summary and Conclusions.

IV.6 Risk Model Risk.

IV.6.1 Introduction.

IV.6.2 Sources of Risk Model Risk.

IV.6.3 Estimation Risk.

IV.6.4 Model Validation.

IV.6.5 Summary and Conclusions.

IV.7 Scenario Analysis and Stress Testing.

IV.7.1 Introduction.

IV.7.2 Scenarios on Financial Risk Factors.

IV.7.3 Scenario Value at Risk and Expected Tail Loss.

IV.7.4 Introduction to Stress Testing.

IV.7.5 A Coherent Framework for Stress Testing.

IV.7.6 Summary and Conclusions.

IV.8 Capital Allocation.

IV.8.1 Introduction.

IV.8.2 Minimum Market Risk Capital Requirements for Banks.

IV.8.3 Economic Capital Allocation.

IV.8.4 Summary and Conclusions.

References.

Index.

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