紹介
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 a Generalised Sharpe Rulea , and its practical applications. Beyond Value at Risk provides the answers to key questions, including: aeo How to implement VaR and related systems in the real world aeo How to make vital investment decisions and estimate their effect aeo How to make hedging decisions aeo How to manage a portfolio It offers financial professionals, academics and students comprehensive coverage of VaR both in theory and practice.
目次
INTRODUCTION TO VAR. The Risk Management Revolution. VaR Basics. DIFFERENT APPROACHES TO MEASURING VAR. The Variance--Covariance Approach. The Historical Simulation Approach. Monte Carlo Simulation and Related Approaches. Stress Testing. RISK MANAGEMENT. Risk--Adjusting Returns and Evaluating Performance. Decision Making. Credit Risk. Liquidity, Operational and Legal Risks. Allocating Capital. Firm--Wide Risk Management. Glossary of Main Terms. Bibliography. Indexes.
