Value-at-Risk: Theory and Practice (Hardback)
  • Value-at-Risk: Theory and Practice (Hardback)
zoom

Value-at-Risk: Theory and Practice (Hardback)

(author)
£62.00
Hardback Published: 21/03/2003
  • Not available

This product is currently unavailable.

  • This item has been added to your basket
Value-at-risk (VaR) is a measure of market risk that has been widely adopted since the mid-1990s for use on trading floors. This is the first advanced book published on VaR. It describes how to design, implement, and use scalable production VaR measures on actual trading floors. It takes readers from the basics of VaR to the most advanced techniques, many of which have never been published in book form. Practical, detailed examples are drawn from markets around the world, including: Euro deposits, Pacific Basin equities, physical coffees, and North American natural gas. Real-world challenges relating to market data, portfolio mappings, multicollinearity, and intra-horizon events are addressed in detail. Exercises reinforce concepts and walk readers step-by-step through computations. Sophisticated techniques are fully disclosed, including: quadratic ("delta-gamma") methods for nonlinear portfolios, variance reduction (control variates and stratified sampling) for Monte Carlo VaR measures, principal component remappings, techniques to "fix" estimated covariance matrices that are not positive-definite, the Cornish-Fisher expansion, and orthogonal GARCH. It contains exercises which reinforce concepts and walk readers step-by-step through computations.

Publisher: Elsevier Science Publishing Co Inc
ISBN: 9780123540102
Weight: 1000 g
Dimensions: 229 x 152 x 25 mm

You may also be interested in...

Investing for Dummies - UK
Added to basket
Billions to Bust and Back
Added to basket
Investing in Shares For Dummies
Added to basket
The Snowball
Added to basket
£16.99
Paperback
King Of Capital
Added to basket
£12.99
Paperback
Fooled by Randomness
Added to basket
Property Investing All-In-One For Dummies
Added to basket
The Financial Times Guide to Investing
Added to basket
How I Became a Quant
Added to basket
Moneyball
Added to basket
£11.99
Paperback
International Private Equity
Added to basket
One Up On Wall Street
Added to basket
The Economist Guide to Commodities
Added to basket

Please sign in to write a review

Your review has been submitted successfully.