Implementing Value at Risk - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Implementing Value at Risk write by Philip Best. This book was released on 2000-11-21. Implementing Value at Risk available in PDF, EPUB and Kindle. Implementing Value at Risk Philip Best Value at Risk (VAR) is an estimate of the potential loss on a trading or investment portfolio. Its use has swept the banking world and is now accepted as an essential tool in any risk manager's briefcase. Perhaps the greatest strength of VAR is that it can cope with virtually all financial products, from simple securities through to complex exotic derivatives. This allows the risk taken, across diverse trading activities, to be compared. This said, VAR is no panacea. It is as critical to understand when the use of VAR is inappropriate as it is to understand the value VAR can add to a bank's understanding and control of its risks. This book aims to explain how VAR can be used as an integral part of a risk and business management framework, rather than as a stand-alone tool. The objectives of this book are to explain: What VAR is - and isn't! How to calculate VAR - the three main methods Why stress testing is needed to complement VAR How to make stress testing effective How to use VAR and stress testing to manage risk How to use VAR to improve a bank's performance VAR as a regulatory measure of risk and capital Risk management practitioners, general bank managers, consultants and students of finance and risk management will find this book, and the software package included, an invaluable addition to their library. Finance/Investment
Value at Risk and Bank Capital Management
Value at Risk and Bank Capital Management - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Value at Risk and Bank Capital Management write by Francesco Saita. This book was released on 2010-07-26. Value at Risk and Bank Capital Management available in PDF, EPUB and Kindle. Value at Risk and Bank Capital Management offers a unique combination of concise, expert academic analysis of the latest technical VaR measures and their applications, and the practical realities of bank decision making about capital management and capital allocation. The book contains concise, expert analysis of the latest technical VaR measures but without the highly mathematical component of other books. It discusses practical applications of these measures in the real world of banking, focusing on effective decision making for capital management and allocation. The author, Francesco Saita, is based at Bocconi University in Milan, Italy, one of the foremost institutions for banking in Europe. He provides readers with his extensive academic and theoretical expertise combined with his practical and real-world understanding of bank structure, organizational constraints, and decision-making processes. This book is recommended for graduate students in master's or Ph.D. programs in finance/banking and bankers and risk managers involved in capital allocation and portfolio management. - Contains concise, expert analysis of the latest technical VaR measures but without the highly mathematical component of other books - Discusses practical applications of these measures in the real world of banking, focusing on effective decision making for capital management and allocation - Author is based at Bocconi University in Milan, Italy, one of the foremost institutions for banking in Europe
Hands-On Value-at-Risk and Expected Shortfall
Hands-On Value-at-Risk and Expected Shortfall - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Hands-On Value-at-Risk and Expected Shortfall write by Martin Auer. This book was released on 2018-02-01. Hands-On Value-at-Risk and Expected Shortfall available in PDF, EPUB and Kindle. This book describes a maximally simple market risk model that is still practical and main risk measures like the value-at-risk and the expected shortfall. It outlines the model's (i) underlying math, (ii) daily operation, and (iii) implementation, while stripping away statistical overhead to keep the concepts accessible. The author selects and weighs the various model features, motivating the choices under real-world constraints, and addresses the evermore important handling of regulatory requirements. The book targets not only practitioners new to the field but also experienced market risk operators by suggesting useful data analysis procedures and implementation details. It furthermore addresses market risk consumers such as managers, traders, and compliance officers by making the model behavior intuitively transparent. A very useful guide to the theoretical and practical aspects of implementing and operating a risk-monitoring system for a mid-size financial institution. It sets a common body of knowledge to facilitate communication between risk managers, computer and investment specialists by bridging their diverse backgrounds. Giovanni Barone-Adesi — Professor, Universitá della Svizzera italiana This unassuming and insightful book starts from the basics and plainly brings the reader up to speed on both theory and implementation. Shane Hegarty — Director Trade Floor Risk Management, Scotiabank Visit the book’s website at www.value-at-risk.com.
VAR
VAR - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook VAR write by Sue Grayling. This book was released on 1997. VAR available in PDF, EPUB and Kindle. A comprehensive reference source on the development and application of VAR in financial institutions and corporations.
Mastering Value at Risk
Mastering Value at Risk - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Mastering Value at Risk write by Cormac Butler. This book was released on 1999. Mastering Value at Risk available in PDF, EPUB and Kindle. Value at Risk (VAR) is rapidly emerging as the dominant methodology for estimating precisely how much money is at risk each day in the financial markets. This book provides an objective view of VAR, analyzing its pitfalls and benefits.
