Value-At-Risk: Theory and Practice - Hardcover

Holton, Glyn A.

 
9780123540102: Value-At-Risk: Theory and Practice
Hardcover
ISBN 10: 0123540100 ISBN 13: 9780123540102
Verlag: Academic Press Inc, 2003

Inhaltsangabe

Value-at-risk (VaR) is a measure of market risk that has been widely adopted since the mid-1990s for use on trading floors. This is the first advanced book published on VaR. It describes how to design, implement, and use scalable production VaR measures on actual trading floors. It takes readers from the basics of VaR to the most advanced techniques, many of which have never been published in book form.

Practical, detailed examples are drawn from markets around the world, including: Euro deposits, Pacific Basin equities, physical coffees, and North American natural gas.

Real-world challenges relating to market data, portfolio mappings, multicollinearity, and intra-horizon events are addressed in detail. Exercises reinforce concepts and walk readers step-by-step through computations.

Sophisticated techniques are fully disclosed, including: quadratic ("delta-gamma") methods for nonlinear portfolios, variance reduction (control variates and stratified sampling) for Monte Carlo VaR measures, principal component remappings, techniques to "fix" estimated covariance matrices that are not positive-definite, the Cornish-Fisher expansion, and orthogonal GARCH.

* First advanced text on Value-at-Risk
* Practical, detailed examples drawn from markets around the world
* Exercises reinforce concepts and walk readers step-by-step through computations

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Über die Autorin bzw. den Autor

Glyn A. Holton is an independent consultant specializing in financial risk management. He formed his practice in 1995, and has since worked with hundreds of professionals in implementing value-at-risk and related solutions. Previously, he was a market risk manager for the Bank of Boston, a vice president for Fidelity Investments and an actuarial associate for Metropolitan Life. He holds a masters degree in mathematics from Temple University."

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Verlag
Academic Press Inc
Erscheinungsdatum
2003
Sprache
Englisch
ISBN 10 
0123540100
ISBN 13 
9780123540102
Einband
Gebundene Ausgabe
Anzahl der Seiten
500
Kontakt zum Hersteller
Nicht verfügbar
Verantwortliche Person
eVatmaster Consulting GmbH
497000000000
contact@evatmaster.com

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Deutschland