Download or read book The Value of Risk written by Peter Borscheid and published by Oxford University Press, USA. This book was released on 2013-12 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explains how today's insurance industry developed and highlights the role of the reinsurance industry in spreading risks globally. The book examines the development of insurance markets and of the reinsurance industry in particular, and the history of Swiss Re, one of the leading reinsurance companies in the world.
Download or read book Implementing Value at Risk written by Philip Best and published by John Wiley & Sons. This book was released on 2000-11-21 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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
Download or read book Risk Management written by M. A. H. Dempster and published by Cambridge University Press. This book was released on 2002-01-10 with total page 290 pages. Available in PDF, EPUB and Kindle. Book excerpt: The use of derivative products in risk management has spread from commodities, stocks and fixed income items, to such virtual commodities as energy, weather and bandwidth. All this can give rise to so-called volatility and there has been a consequent development in formal risk management techniques to cover all types of risk: market, credit, liquidity, etc. One of these techniques, Value at Risk, was developed specifically to help manage market risk over short periods. Its success led, somewhat controversially, to its take up and extension to credit risk over longer time-scales. This extension, ultimately not successful, led to the collapse of a number of institutions. The present book, which was originally published in 2002, by some of the leading figures in risk management, examines the complex issues that concern the stability of the global financial system by presenting a mix of theory and practice.
Download or read book Value and Risk Management written by Michael F. Dallas and published by John Wiley & Sons. This book was released on 2008-04-15 with total page 400 pages. Available in PDF, EPUB and Kindle. Book excerpt: Published on behalf of the Chartered Institute of Building and endorsed by a range of construction industry institutes, this book explains the underlying concepts of value and risk, and how they relate to one another. It describes the different issues to be addressed in a variety of circumstances and at all stages of a project's life and reviews a number of commonly used and effective techniques, showing how these may be adapted to suit individuals' styles and circumstances. * Published on behalf of the Chartered Institute of Building with cross-industry institutional support * Combines value and risk management which are often considered, wrongly, in isolation * Makes a complicated subject accessible to a wide audience of construction practitioners * Features checklists and proformas to aid implementation of best practice * Author has extensive practical experience of the subject
Download or read book Hands On Value at Risk and Expected Shortfall written by Martin Auer and published by Springer. This book was released on 2018-02-01 with total page 174 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Corporate Value of Enterprise Risk Management written by Sim Segal and published by John Wiley & Sons. This book was released on 2011-02-11 with total page 439 pages. Available in PDF, EPUB and Kindle. Book excerpt: The ultimate guide to maximizing shareholder value through ERM The first book to introduce an emerging approach synthesizing ERM and value-based management, Corporate Value of Enterprise Risk Management clarifies ERM as a strategic business management approach that enhances strategic planning and other decision-making processes. A hot topic in the wake of a series of corporate scandals as well as the financial crisis Looks at ERM as a way to deliver on the promise of balancing risk and return A practical guide for corporate Chief Risk Officers (CROs) and other business professionals seeking to successfully implement ERM ERM is here to stay. Sharing his unique insights and experiences as a recognized global thought leader in this field, author Sim Segal offers world-class guidance on how your business can successfully implement ERM to protect and increase shareholder value.
Download or read book Beyond Value at Risk written by Kevin Dowd and published by . This book was released on 1998-05-05 with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finance/Investment Beyond Value at Risk The New Science of Risk Management A Comprehensive Guide to Value at Risk and Risk Management Risk management and measurement are now, without doubt, the hottest topics in the finance world. Today, quantifying risk management is not only a management tool - but is also used by regulators for banks and finance houses. Beyond Value at Risk provides a comprehensive guide to recent developments and existing approaches to VaR and risk management, going beyond traditional approaches to the subject and offering a new, far-reaching perspective on investment, hedging and portfolio decision-making. The key to this distinctive approach is a new decision rule - the 'Generalised Sharpe Rule', and its practical applications. Beyond Value at Risk provides the answers to key questions, including: * How to implement VaR and related systems in the real world * How to make vital investment decisions and estimate their effect * How to make hedging decisions * How to manage a portfolio It offers financial professionals, academics and students comprehensive coverage of VaR both in theory and practice.
Download or read book Understanding Market Credit and Operational Risk written by Linda Allen and published by John Wiley & Sons. This book was released on 2009-02-04 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: A step-by-step, real world guide to the use of Value at Risk (VaR) models, this text applies the VaR approach to the measurement of market risk, credit risk and operational risk. The book describes and critiques proprietary models, illustrating them with practical examples drawn from actual case studies. Explaining the logic behind the economics and statistics, this technically sophisticated yet intuitive text should be an essential resource for all readers operating in a world of risk. Applies the Value at Risk approach to market, credit, and operational risk measurement. Illustrates models with real-world case studies. Features coverage of BIS bank capital requirements.
Download or read book VAR written by Sue Grayling and published by . This book was released on 1997 with total page 397 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive reference source on the development and application of VAR in financial institutions and corporations.
Download or read book Total Information Risk Management written by Alexander Borek and published by Newnes. This book was released on 2013-08-30 with total page 315 pages. Available in PDF, EPUB and Kindle. Book excerpt: How well does your organization manage the risks associated with information quality? Managing information risk is becoming a top priority on the organizational agenda. The increasing sophistication of IT capabilities along with the constantly changing dynamics of global competition are forcing businesses to make use of their information more effectively. Information is becoming a core resource and asset for all organizations; however, it also brings many potential risks to an organization, from strategic, operational, financial, compliance, and environmental to societal. If you continue to struggle to understand and measure how information and its quality affects your business, this book is for you. This reference is in direct response to the new challenges that all managers have to face. Our process helps your organization to understand the "pain points" regarding poor data and information quality so you can concentrate on problems that have a high impact on core business objectives. This book provides you with all the fundamental concepts, guidelines and tools to ensure core business information is identified, protected and used effectively, and written in a language that is clear and easy to understand for non-technical managers. - Shows how to manage information risk using a holistic approach by examining information from all sources - Offers varied perspectives of an author team that brings together academics, practitioners and researchers (both technical and managerial) to provide a comprehensive guide - Provides real-life case studies with practical insight into the management of information risk and offers a basis for broader discussion among managers and practitioners
Download or read book Risk Budgeting written by Neil D. Pearson and published by John Wiley & Sons. This book was released on 2011-08-31 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt: Institutionelle Anleger, Fonds- und Portfoliomanager müssen Risiken eingehen, wenn sie Spitzengewinne erzielen wollen. Die Frage ist nur wieviel Risiko. "Risk Budgeting: Portfolio Problem Solving with VaR" liefert die Antwort auf diese Frage. Beim Konzept des Risk Budgeting geht es um Risiko- und Kapitalallokation auf der Grundlage erwarteter Erträge und Risiken, mit dem Ziel, höhere Renditen zu erwirtschaften im Rahmen eines vordefinierten Gesamtrisikoniveaus. Mit Hilfe quantitativer Methoden zur Risikomessung, einschließlich der Value at Risk-Methode läßt sich das Risiko ermitteln und bewerten. Value at Risk (VaR) ist ein Verfahren zur Risikobewertung, das Banken ursprünglich zur Messung und Begrenzung von Marktpreisrisiken eingesetzt haben. Heute wird die VaR-Methode auch verstärkt im Risikomanagement eingesetzt. Dieses Buch bietet eine fundierte Einführung in die VaR-Methode sowie in Verfahren zur Risikomessung bei Extremereignissen und Krisenszenarien (Stress Testing). Darüber hinaus erklärt es, wie man mit Hilfe des Risk Budgeting ein effizienteres Portfoliomanagement erreicht. "Risk Budgeting: Portfolio Problem Solving with VaR" ist das einzige Buch auf dem Markt, das Risk Budgeting und VaR - zwei brandaktuelle Themen im Portfoliomanagement - speziell für institutionelle Investment- und Portfolio-Manager aufbereitet. Eine unverzichtbare Lektüre.
Download or read book Risk Management and Value written by Mondher Bellalah and published by World Scientific. This book was released on 2008 with total page 645 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a comprehensive discussion of the issues related to risk, volatility, value and risk management. It includes a selection of the best papers presented at the Fourth International Finance Conference 2007, qualified by Professor James Heckman, the 2000 Nobel Prize Laureate in Economics, as a high level one. The first half of the book examines ways to manage risk and compute value-at-risk for exchange risk associated to debt portfolios and portfolios of equity. It also covers the Basel II framework implementation and securitisation. The effects of volatility and risk on the valuation of financial assets are further studied in detail. The second half of the book is dedicated to the banking industry, banking competition on the credit market, banking risk and distress, market valuation, managerial risk taking, and value in the ICT activity. With its inclusion of new concepts and recent literature, academics and risk managers will want to read this book. Sample Chapter(s). Introduction (40 KB). Chapter 1: Managing Derivatives in the Presence of a Smile Effect and Incomplete Information (97 KB). Contents: Managing Derivatives in the Presence of a Smile Effect and Incomplete Information (M Bellalah); A Value-at-Risk Approach to Assess Exchange Risk Associated to a Public Debt Portfolio: The Case of a Small Developing Economy (W Ajili); A Method to Find Historical VaR for Portfolio that Follows S&P CNX Nifty Index by Estimating the Index Value (K V N M Ramesh); Some Considerations on the Relationship between Corruption and Economic Growth (V Dragota et al.); Financial Risk Management by Derivatives Caused from Weather Conditions: Its Applicability for Trkiye (T uzkan); The Basel II Framework Implementation and Securitization (M-F Lamy); Stochastic Time Change, Volatility, and Normality of Returns: A High-Frequency Data Analysis with a Sample of LSE Stocks (O Borsali & A Zenaidi); The Behavior of the Implied Volatility Surface: Evidence from Crude Oil Futures Options (A Bouden); Procyclical Behavior of Loan Loss Provisions and Banking Strategies: An Application to the European Banks (D D Dinamona); Market Power and Banking Competition on the Credit Market (I Lapteacru); Early Warning Detection of Banking Distress OCo Is Failure Possible for European Banks? (A Naouar); Portfolio Diversification and Market Share Analysis for Romanian Insurance Companies (M Dragota et al.); On the Closed-End Funds Discounts/Premiums in the Context of the Investor Sentiment Theory (A P C do Monte & M J da Rocha Armada); Why has Idiosyncratic Volatility Increased in Europe? (J-E Palard); Debt Valuation, Enterprise Assessment and Applications (D Vanoverberghe); Does The Tunisian Stock Market Overreact? (F Hammami & E Abaoub); Investor-Venture Capitalist Relationship: Asymmetric Information, Uncertainty, and Monitoring (M Cherif & S Sraieb); Threshold Mean Reversion in Stock Prices (F Jawadi); Households'' Expectations of Unemployment: New Evidence from French Microdata (S Ghabri); Corporate Governance and Managerial Risk Taking: Empirical Study in the Tunisian Context (A B Aroui & F W B M Douagi); Nonlinearity and Genetic Algorithms in the Decision-Making Process (N Hachicha & A Bouri); ICT and Performance of the Companies: The Case of the Tunisian Companies (J Ziadi); Option Market Microstructure (J-M Sahut); Does the Standardization of Business Processes Improve Management? The Case of Enterprise Resource Planning Systems (T Chtioui); Does Macroeconomic Transparency Help Governments be Solvent? Evidence from Recent Data (R Mallat & D K Nguyen). Readership: Academics and risk managers."
Download or read book Value at Risk and Bank Capital Management written by Francesco Saita and published by Academic Press. This book was released on 2007 with total page 259 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bank capital management is a major concern for banking and finance today due to Basel II, a set of regulatory guidelines aimed at promoting greater consistency in the way bands and banking regulators approach risk management across national borders. The combination of discussions about sophisticated and cutting-edge risk measurement techniques and practical bank decision-making about capital management and allocation make this book unique.
Download or read book Probabilistic Constrained Optimization written by Stanislav Uryasev and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 319 pages. Available in PDF, EPUB and Kindle. Book excerpt: Probabilistic and percentile/quantile functions play an important role in several applications, such as finance (Value-at-Risk), nuclear safety, and the environment. Recently, significant advances have been made in sensitivity analysis and optimization of probabilistic functions, which is the basis for construction of new efficient approaches. This book presents the state of the art in the theory of optimization of probabilistic functions and several engineering and finance applications, including material flow systems, production planning, Value-at-Risk, asset and liability management, and optimal trading strategies for financial derivatives (options). Audience: The book is a valuable source of information for faculty, students, researchers, and practitioners in financial engineering, operation research, optimization, computer science, and related areas.
Download or read book Family Value at Risk written by Jr. Gondeck and published by Forbesbooks. This book was released on 2020-10-13 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: IS YOUR FAMILY VALUE AT RISK? When we hear the word "wealth," many of us think about money. But wealth is about so much more than that. All of the aspects of your life that matter most to you--your family, your legacy, your community, the causes you care deeply about--contribute to your wealth and the richness of your life. Together, they compose your family value. If you're only managing your family's money, however, your family value is at risk. That key concept is at the basis of coauthors and wealth advisors JR Gondeck and Vanessa Martinez's approach. Rooted in the knowledge that there is way more to wealth beyond one's ROI, JR and Vanessa work with families to ensure their financial plans reflect and protect their family value. Their strategy is not only holistic; it's also inclusive. At their firm, The Lerner Group, advisors prioritize the perspectives and needs of all family members, including matriarchs--individuals who are often overlooked by more traditional advisors. As a result, they are able to help families maintain their overall wealth--and their value--for generations to come. In Family Value at Risk, they share critical insights on the risks and rewards of wealth planning. From the pitfalls of typical advising to the crucial conversations necessary to ensure your plans reflect your wishes, this book is a must-read for anyone concerned about their financial future.
Download or read book Backtesting Value at Risk and Expected Shortfall written by Simona Roccioletti and published by Springer. This book was released on 2015-12-04 with total page 155 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this book Simona Roccioletti reviews several valuable studies about risk measures and their properties; in particular she studies the new (and heavily discussed) property of "Elicitability" of a risk measure. More important, she investigates the issue related to the backtesting of Expected Shortfall. The main contribution of the work is the application of "Test 1" and "Test 2" developed by Acerbi and Szekely (2014) on different models and for five global market indexes.
Download or read book Mastering Value at Risk written by Cormac Butler and published by Financial Times/Prentice Hall. This book was released on 1999 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
