Download or read book The VAR Implementation Handbook written by Greg N. Gregoriou and published by McGraw Hill Professional. This book was released on 2009-03-15 with total page 562 pages. Available in PDF, EPUB and Kindle. Book excerpt: [flap] For investors, risk is about the odds of losing money, and Value at Risk (VaR) is grounded in that common-sense fact. VAR modeling answers, “What is my worst-case scenario?” and “How much could I lose in a really bad month?” However, there has not been an effective guidebook available to help investors and financial managers make their own VaR calculations--until now. The VaR Implementation Handbook is a hands-on road map for professionals who have a solid background in VaR but need the critical strategies, models, and insights to apply their knowledge in the real world. Heralded as “the new science of risk management,” VaR has emerged as the dominant methodology used by financial institutions and corporate treasuries worldwide for estimating precisely how much money is at risk each day in the financial markets. The VaR Implementation Handbook picks up where other books on the subject leave off and demonstrates how, with proper implementation, VaR can be a valuable tool for assessing risk in a variety of areas-from equity to structured and operational products. This complete guide thoroughly covers the three major areas of VaR implementation--measuring, modeling risk, and managing--in three convenient sections. Savvy professionals will keep this handbook at their fingertips for its: Reliable advice from 40 recognized experts working in universities and financial institutions around the world Effective methods and measures to ensure that implemented VaR models maintain optimal performance Up-to-date coverage on newly exposed areas of volatility, including derivatives Real-world prosperity requires making informed financial decisions. The VaR Implementation Handbook is a step-by-step playbook to getting the most out of VaR modeling so you can successfully manage financial risk.

Download or read book The VAR Implementation Handbook Chapter 13 Value at Risk for High Dimensional Portfolios A Dynamic Grouped t Copula Approach written by Greg N. Gregoriou and published by McGraw Hill Professional. This book was released on 2009-02-19 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: The following is a chapter from The VaR Implementation Handbook, which examines the latest strategies for measuring, managing, and modeling risk across a variety of applications. Packed with the insights, methods, and models that make experienced professionals competitive all over the world, this comprehensive guide features cutting-edge research and findings from some of the industry's most respected academics, practitioners, and consultants.

Download or read book The VAR Implementation Handbook Chapter 6 Value at Risk Performance Criterion A Performance Measure for Evaluating Value at Risk Models written by Greg N. Gregoriou and published by McGraw Hill Professional. This book was released on 2009-02-19 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: The following is a chapter from The VaR Implementation Handbook, which examines the latest strategies for measuring, managing, and modeling risk across a variety of applications. Packed with the insights, methods, and models that make experienced professionals competitive all over the world, this comprehensive guide features cutting-edge research and findings from some of the industry's most respected academics, practitioners, and consultants.

Download or read book The VAR Implementation Handbook Chapter 2 Efficient VaR Using Past Forecast Performance to Generate Improved VaR Forecasts written by Greg N. Gregoriou and published by McGraw Hill Professional. This book was released on 2009-02-19 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: The following is a chapter from The VaR Implementation Handbook, which examines the latest strategies for measuring, managing, and modeling risk across a variety of applications. Packed with the insights, methods, and models that make experienced professionals competitive all over the world, this comprehensive guide features cutting-edge research and findings from some of the industry's most respected academics, practitioners, and consultants.

Download or read book The VAR Implementation Handbook Chapter 23 How Investors Face Financial Risk Loss Aversion and Wealth Allocation with Two Dimensional Individual Utility A VaR Application written by Greg N. Gregoriou and published by McGraw Hill Professional. This book was released on 2009-02-19 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: The following is a chapter from The VaR Implementation Handbook, which examines the latest strategies for measuring, managing, and modeling risk across a variety of applications. Packed with the insights, methods, and models that make experienced professionals competitive all over the world, this comprehensive guide features cutting-edge research and findings from some of the industry's most respected academics, practitioners, and consultants.

Download or read book The VAR Implementation Handbook Chapter 8 Some Advanced Approaches to VaR Calculation and Measurement written by Greg N. Gregoriou and published by McGraw Hill Professional. This book was released on 2009-02-19 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: The following is a chapter from The VaR Implementation Handbook, which examines the latest strategies for measuring, managing, and modeling risk across a variety of applications. Packed with the insights, methods, and models that make experienced professionals competitive all over the world, this comprehensive guide features cutting-edge research and findings from some of the industry's most respected academics, practitioners, and consultants.

Download or read book The VAR Implementation Handbook Chapter 17 Aggregating and Combining Ratings written by Greg N. Gregoriou and published by McGraw Hill Professional. This book was released on 2009-02-19 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: The following is a chapter from The VaR Implementation Handbook, which examines the latest strategies for measuring, managing, and modeling risk across a variety of applications. Packed with the insights, methods, and models that make experienced professionals competitive all over the world, this comprehensive guide features cutting-edge research and findings from some of the industry's most respected academics, practitioners, and consultants.

Download or read book The VAR Implementation Handbook Chapter 4 Cash Flow at Risk Linking Strategy and Finance written by Greg N. Gregoriou and published by McGraw Hill Professional. This book was released on 2009-02-19 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: The following is a chapter from The VaR Implementation Handbook, which examines the latest strategies for measuring, managing, and modeling risk across a variety of applications. Packed with the insights, methods, and models that make experienced professionals competitive all over the world, this comprehensive guide features cutting-edge research and findings from some of the industry's most respected academics, practitioners, and consultants.

Download or read book The VAR Implementation Handbook Chapter 3 Applying VaR to Hedge Fund Trading Strategies Limitations and Challenges written by Greg N. Gregoriou and published by McGraw Hill Professional. This book was released on 2009-02-19 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: The following is a chapter from The VaR Implementation Handbook, which examines the latest strategies for measuring, managing, and modeling risk across a variety of applications. Packed with the insights, methods, and models that make experienced professionals competitive all over the world, this comprehensive guide features cutting-edge research and findings from some of the industry's most respected academics, practitioners, and consultants.

Download or read book The VAR Implementation Handbook Chapter 18 Risk Managing the Uncertainty in VaR Model Parameters written by Greg N. Gregoriou and published by McGraw Hill Professional. This book was released on 2009-02-19 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: The following is a chapter from The VaR Implementation Handbook, which examines the latest strategies for measuring, managing, and modeling risk across a variety of applications. Packed with the insights, methods, and models that make experienced professionals competitive all over the world, this comprehensive guide features cutting-edge research and findings from some of the industry's most respected academics, practitioners, and consultants.

Download or read book The VAR Implementation Handbook Chapter 10 Value at Risk Based Stop Loss Trading written by Greg N. Gregoriou and published by McGraw Hill Professional. This book was released on 2009-02-19 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: The following is a chapter from The VaR Implementation Handbook, which examines the latest strategies for measuring, managing, and modeling risk across a variety of applications. Packed with the insights, methods, and models that make experienced professionals competitive all over the world, this comprehensive guide features cutting-edge research and findings from some of the industry's most respected academics, practitioners, and consultants.

Download or read book The VAR Implementation Handbook Chapter 1 Calculating VaR for Hedge Funds written by Greg N. Gregoriou and published by McGraw Hill Professional. This book was released on 2009-02-19 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: The following is a chapter from The VaR Implementation Handbook, which examines the latest strategies for measuring, managing, and modeling risk across a variety of applications. Packed with the insights, methods, and models that make experienced professionals competitive all over the world, this comprehensive guide features cutting-edge research and findings from some of the industry's most respected academics, practitioners, and consultants.

Download or read book The VAR Implementation Handbook Chapter 20 Model Risk in VAR Calculations written by Greg N. Gregoriou and published by McGraw Hill Professional. This book was released on 2009-02-19 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: The following is a chapter from The VaR Implementation Handbook, which examines the latest strategies for measuring, managing, and modeling risk across a variety of applications. Packed with the insights, methods, and models that make experienced professionals competitive all over the world, this comprehensive guide features cutting-edge research and findings from some of the industry's most respected academics, practitioners, and consultants.

Download or read book The VAR Implementation Handbook Chapter 5 Plausible Operational Value at Risk Calculations for Management Decision Making written by Greg N. Gregoriou and published by McGraw Hill Professional. This book was released on 2009-02-19 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: The following is a chapter from The VaR Implementation Handbook, which examines the latest strategies for measuring, managing, and modeling risk across a variety of applications. Packed with the insights, methods, and models that make experienced professionals competitive all over the world, this comprehensive guide features cutting-edge research and findings from some of the industry's most respected academics, practitioners, and consultants.

Download or read book The VaR Modeling Handbook Practical Applications in Alternative Investing Banking Insurance and Portfolio Management written by Greg N. Gregoriou and published by McGraw Hill Professional. This book was released on 2010-02-22 with total page 418 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book The VAR Implementation Handbook Chapter 15 Risk Measures and Their Applications in Asset Management written by Greg N. Gregoriou and published by McGraw Hill Professional. This book was released on 2009-02-19 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: The following is a chapter from The VaR Implementation Handbook, which examines the latest strategies for measuring, managing, and modeling risk across a variety of applications. Packed with the insights, methods, and models that make experienced professionals competitive all over the world, this comprehensive guide features cutting-edge research and findings from some of the industry's most respected academics, practitioners, and consultants.

Download or read book The VAR Implementation Handbook Chapter 16 Risk Evaluation of Sectors Traded at the ISE with VaR Analysis written by Greg N. Gregoriou and published by McGraw Hill Professional. This book was released on 2009-02-19 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: The following is a chapter from The VaR Implementation Handbook, which examines the latest strategies for measuring, managing, and modeling risk across a variety of applications. Packed with the insights, methods, and models that make experienced professionals competitive all over the world, this comprehensive guide features cutting-edge research and findings from some of the industry's most respected academics, practitioners, and consultants.