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The VaR implementation handbook[electronic resource] /

紀錄類型:	書目-電子資源 : Monograph/item
杜威分類號:	658.155011
書名/作者:	The VaR implementation handbook/ Greg N. Gregoriou, editor.
其他作者:	Gregoriou, Greg N.,
出版者:	New York : : McGraw-Hill,, c2009.
面頁冊數:	xxx, 528 p. : : ill.
附註:	Series from jacket.
標題:	Financial risk management.
標題:	Financial risk management - Simulation methods.
標題:	Asset-liability management.
標題:	Asset-liability management - Simulation methods.
ISBN:	9780071615136 (hbk.)
ISBN:	007161513X (hbk.)
書目註:	Includes bibliographical references and index.
內容註:	Calculating VaR for hedge funds / Monica Billio, Mila Getmansky, and Loriana Pelizzon -- Efficient VaR : using past forecast performance to generate improved VaR forecasts / Kevin Dowd and Carlos Blanco -- Applying VaR to hedge fund trading strategies : limitations and challenges / R. McFall Lamm Jr. -- Cash flow at risk : linking strategy and finance / Ulrich Hommel -- Plausible operational value-at-risk calculations for management decision making / Wilhelm Kross, Ulrich Hommel, and Martin Wiethuechter -- Value-at-risk performance criterion : a performance measure for evaluating value-at-risk models / Zeno Adams and Roland F�Es -- Explaining cross-sectional differences in credit default swap spreads : an alternative approach using value at risk / Bastian Breitenfellner and Niklas Wagner -- Some advanced approaches to VaR calculation and measurement / Fran�ois- �ric Racicot and Raymond Th�oret -- Computational aspects of value at risk / Germ�n Navarro and Ignacio Olmeda -- Value-at-risk-based stop-loss trading / Bernd Scherer -- Modeling portfolio risks with time-dependent default rates in venture capital / Andreas Kemmerer, Jan Rietzschel, and Henry Schoenball -- Risk aggregation and computation of total economic capital / Peter Grundke -- Value at risk for high-dimensional portfolios : a dynamic grouped t- copula approach / Dean Fantazzini -- A model to measure portfolio risks in venture capital / Andreas Kemmerer -- Risk measures and their applications in asset management / S. Ilker Birbil ... [et al.] -- Risk evaluation of sectors traded at the ISE with VaR analysis / Mehmet Orhan and G�khan Karaahmet -- Aggregating and combining ratings / Rafael Wei�bach, Frederik Kramer, and Claudia Lawrenz -- Risk-mananging the uncertainty in VaR model parameters / Jason C. Hsu and Vitali Kalesnik -- Structural credit modeling and its relationship to market value at risk : an Australian sectoral perspective / David E. Allen and Robert Powell -- Model risk in VAR calculations / Peter Schaller -- Option pricing with constant and time-varying volatility / Willi Semmler and Karim M. Youssef -- Value at risk under heterogeneous investment horizons and spatial relations / Viviana Fernandez -- How investors face financial risk loss aversion and wealth allocation with two-dimensional individual utility : a VaR application / Erick W. Rengifo and Emanuela Trifan.
電子資源:	Click for full text (McGrawHill)

The VaR implementation handbook[electronic resource] /
The VaR implementation handbook[electronic resource] /Greg N. Gregoriou, editor. - New York :McGraw-Hill,c2009. - xxx, 528 p. :ill. - McGraw-Hill finance & investing.

Series from jacket.

Includes bibliographical references and index.

Calculating VaR for hedge funds / Monica Billio, Mila Getmansky, and Loriana Pelizzon -- Efficient VaR : using past forecast performance to generate improved VaR forecasts / Kevin Dowd and Carlos Blanco -- Applying VaR to hedge fund trading strategies : limitations and challenges / R. McFall Lamm Jr. -- Cash flow at risk : linking strategy and finance / Ulrich Hommel -- Plausible operational value-at-risk calculations for management decision making / Wilhelm Kross, Ulrich Hommel, and Martin Wiethuechter -- Value-at-risk performance criterion : a performance measure for evaluating value-at-risk models / Zeno Adams and Roland F�Es -- Explaining cross-sectional differences in credit default swap spreads : an alternative approach using value at risk / Bastian Breitenfellner and Niklas Wagner -- Some advanced approaches to VaR calculation and measurement / Fran�ois- �ric Racicot and Raymond Th�oret -- Computational aspects of value at risk / Germ�n Navarro and Ignacio Olmeda -- Value-at-risk-based stop-loss trading / Bernd Scherer -- Modeling portfolio risks with time-dependent default rates in venture capital / Andreas Kemmerer, Jan Rietzschel, and Henry Schoenball -- Risk aggregation and computation of total economic capital / Peter Grundke -- Value at risk for high-dimensional portfolios : a dynamic grouped t- copula approach / Dean Fantazzini -- A model to measure portfolio risks in venture capital / Andreas Kemmerer -- Risk measures and their applications in asset management / S. Ilker Birbil ... [et al.] -- Risk evaluation of sectors traded at the ISE with VaR analysis / Mehmet Orhan and G�khan Karaahmet -- Aggregating and combining ratings / Rafael Wei�bach, Frederik Kramer, and Claudia Lawrenz -- Risk-mananging the uncertainty in VaR model parameters / Jason C. Hsu and Vitali Kalesnik -- Structural credit modeling and its relationship to market value at risk : an Australian sectoral perspective / David E. Allen and Robert Powell -- Model risk in VAR calculations / Peter Schaller -- Option pricing with constant and time-varying volatility / Willi Semmler and Karim M. Youssef -- Value at risk under heterogeneous investment horizons and spatial relations / Viviana Fernandez -- How investors face financial risk loss aversion and wealth allocation with two-dimensional individual utility : a VaR application / Erick W. Rengifo and Emanuela Trifan.

ISBN: 9780071615136 (hbk.)

Nat. Bib. No.: GBA909728bnbSubjects--Topical Terms:

336866
Financial risk management.
Index Terms--Genre/Form:

336502
Electronic books.

LC Class. No.: HG173 / .V37 2009

Dewey Class. No.: 658.155011

The VaR implementation handbook[electronic resource] /
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650 0 $a Financial risk management $x Simulation methods. $3 381395
650 0 $a Asset-liability management. $3 336865
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655 7 $a Electronic books. $2 local $3 336502
700 1 $a Gregoriou, Greg N., $d 1956-. $3 381394
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