# Market Risk Analysis; Volume IV ; Value-at-Risk Models

Language: English Publication details: Chichester, Hoboken, San Francisco : John Wiley and Sons 2008Edition: 1. EdDescription: xlii, 449 pp., 1 CD-ROMISBN:- 978-0-470-99788-8

- 332 Financial economics

Item type | Current library | Shelving location | Call number | Status | Date due | Barcode | |
---|---|---|---|---|---|---|---|

Loanable | Institute for Advanced Studies (IHS) | Book | 19917-A/IV | Checked out | 06/11/2009 00:00 | IHS103033701 |

from the Table of Contents: Foreword; Preface to Volume IV; Value at Risk and Other Risk Metrics: Introduction; An Overview of Market Risk Assessment; Downside and Quantile Risk Metrics; Defining Value at Risk; Foundations of Value-at-Risk Measurement; Risk Factor Value at Risk; Decomposition of Value at Risk; Risk Metrics Associated with Value at Risk; Introduction to Value-at-Risk Models; Summary and Conclusions; Parametric Linear VaR Models: Introduction; Foundations of Normal Linear Value at Risk; Normal Linear Value at Risk for Cash-Flow Maps; Case Study. PC Value at Risk of a UK Fixed Income Portfolio; Normal Linear Value at Risk for Stock Portfolios; Systematic Value-at-Risk Decomposition for Stock Portfolios; Case Study. Normal Linear Value at Risk for Commodity Futures; Student t Distributed Linear Value at Risk; Linear Value at Risk with Mixture Distributions; Exponential Weighting with Parametric Linear Value at Risk; Expected Tail Loss (Conditional VaR); Case Study. Credit Spread Parametric Linear Value at Risk and ETL; Summary and Conclusions; Historical Simulation: Introduction; Properties of Historical Value at Risk; Improving the Accuracy of Historical Value at Risk; Precision of Historical Value at Risk at Extreme Quantiles; Historical Value at Risk for Linear Portfolios; Estimating Expected Tail Loss in the Historical Value-at-Risk Model; Summary and Conclusions; Monte Carlo VaR: Introduction; Basic Concepts; Modelling Dynamic Properties in Risk Factor Returns; Modelling Risk Factor Dependence; Monte Carlo Value at Risk for Linear Portfolios; Summary and Conclusions; Value at Risk for Option Portfolios: Introduction; Risk Characteristics of Option Portfolios; Analytic Value-at-Risk Approximations; Historical Value at Risk for Option Portfolios; Monte Carlo Value at Risk for Option Portfolios; Summary and Conclusions; Risk Model Risk: Introduction; Sources of Risk Model Risk; Estimation Risk; Model Validation; Summary and Conclusions; Scenario Analysis and Stress Testing: Introduction; Scenarios on Financial Risk Factors; Scenario Value at Risk and Expected Tail Loss; Introduction to Stress Testing; A Coherent Framework for Stress Testing; Summary and Conclusions; Capital Allocation: Introduction; Minimum Market Risk Capital Requirements for Banks; Economic Capital Allocation; Summary and Conclusions;

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