Value-at-Risk (VaR) is a powerful tool for assessing market risk in real
time a critical insight when making trading and hedging decisions.
The VaR Modeling Handbook is the most complete, up-to-date reference on
the subject for today's savvy investors, traders, portfolio managers, and other asset and
risk managers.
Unlike market risk metrics such as the Greeks, or beta, which are applicable to
only certain asset categories and sources of market risk, VaR is applicable to all liquid
assets, making it a reliable indicator of total market risk. For this reason, among many
others, VaR has become the dominant method for estimating precisely how much money is at
risk each day in the financial markets.
The VaR Modeling Handbook is a profound volume that delivers practical
information on measuring and modeling risk specifically focused on alternative
investments, banking, and the insurance sector. The perfect primer to The VaR
Implementation Handbook (McGraw- Hill), this foundational resource features
- The experience of 40 internationally recognized experts
- Useful perspectives from a wide range of practitioners, researchers, and
academics
- Coverage on applying VaR to hedge fund strategies, microcredit loan portfolios,
and economic capital management approaches for insurance companies
Each illuminating chapter in The VaR Modeling Handbook presents a specific
topic, complete with an abstract and conclusion for quick reference, as well as numerous
illustrations that exemplify covered material. Practitioners can gain in-depth,
cornerstone knowledge of VaR by reading the handbook cover to cover or take advantage of
its user-friendly format by using it as a go-to resource in the real world.
Financial success in the markets requires confident decision making, and The
VaR Modeling Handbook gives you the knowledge you need to use this state-of-the-art
modeling method to successfully manage financial risk.
Table of Contents
Section 1: Alternative Investments And Optimization
1: Asset Allocation For Hedge Fund Strategies
2: Estimating Value-At-Risk Of Institutional Portfolios With Alternative Asset Classes
3: Optimal Allocations Based On The Modified VaR vs. Utility-Based Risk Measure
4: Using VaR For Optimizing And Hedging 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 Of Value-At-Risk Models
8: VaR For A Microcredit Loan Portfolio
9: Allocation Of Economic Capital In Banking:
10: Capital Requirement Calculation Of A General Insurance Undertaking
11: Economic Capital Management For Insurance Companies
12: Solvency II
416 pages, Hardcover