Market Risk Analysis, Value at Risk Models


Author: Carol Alexander

Publisher: John Wiley & Sons

ISBN: 047074507X

Category: Business & Economics

Page: 492

View: 928

Written by leading market risk academic, Professor Carol Alexander, Value-at-Risk Models forms part four of the Market Risk Analysis four volume set. Building on the three previous volumes this book provides by far the most comprehensive, rigorous and detailed treatment of market VaR models. It rests on the basic knowledge of financial mathematics and statistics gained from Volume I, of factor models, principal component analysis, statistical models of volatility and correlation and copulas from Volume II and, from Volume III, knowledge of pricing and hedging financial instruments and of mapping portfolios of similar instruments to risk factors. A unifying characteristic of the series is the pedagogical approach to practical examples that are relevant to market risk analysis in practice. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM . Empirical examples and case studies specific to this volume include: Parametric linear value at risk (VaR)models: normal, Student t and normal mixture and their expected tail loss (ETL); New formulae for VaR based on autocorrelated returns; Historical simulation VaR models: how to scale historical VaR and volatility adjusted historical VaR; Monte Carlo simulation VaR models based on multivariate normal and Student t distributions, and based on copulas; Examples and case studies of numerous applications to interest rate sensitive, equity, commodity and international portfolios; Decomposition of systematic VaR of large portfolios into standard alone and marginal VaR components; Backtesting and the assessment of risk model risk; Hypothetical factor push and historical stress tests, and stress testing based on VaR and ETL.

Hands-On Value-at-Risk and Expected Shortfall

A Practical Primer


Author: Martin Auer

Publisher: Springer

ISBN: 3319723200

Category: Business & Economics

Page: 169

View: 971

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

Understanding Market, Credit, and Operational Risk

The Value at Risk Approach


Author: Linda Allen,Jacob Boudoukh,Anthony Saunders

Publisher: John Wiley & Sons

ISBN: 140514226X

Category: Business & Economics

Page: 312

View: 8889

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.

Simple Tools and Techniques for Enterprise Risk Management


Author: Robert J. Chapman

Publisher: John Wiley & Sons

ISBN: 1119990645

Category: Business & Economics

Page: 480

View: 9309

Your business reputation can take years to build—and mere minutes to destroy The range of business threats is evolving rapidly but your organization can thrive and gain a competitive advantage with your business vision for enterprise risk management. Trends affecting markets—events in the global financial markets, changing technologies, environmental priorities, dependency on intellectual property—all underline how important it is to keep up to speed on the latest financial risk management practices and procedures. This popular book on enterprise risk management has been expanded and updated to include new themes and current trends for today's risk practitioner. It features up-to-date materials on new threats, lessons from the recent financial crisis, and how businesses need to protect themselves in terms of business interruption, security, project and reputational risk management. Project risk management is now a mature discipline with an international standard for its implementation. This book reinforces that project risk management needs to be systematic, but also that it must be embedded to become part of an organization's DNA. This book promotes techniques that will help you implement a methodical and broad approach to risk management. The author is a well-known expert and boasts a wealth of experience in project and enterprise risk management Easy-to-navigate structure breaks down the risk management process into stages to aid implementation Examines the external influences that bring sources of business risk that are beyond your control Provides a handy chapter with tips for commissioning consultants for business risk management services It is a business imperative to have a clear vision for risk management. Simple Tools and Techniques for Enterprise Risk Management, Second Edition shows you the way.

Risk Management


Author: Thomas Wolke

Publisher: Walter de Gruyter GmbH & Co KG

ISBN: 3110432455

Category: Business & Economics

Page: 378

View: 2118

This book is the English edition of the German third edition, which has proven to be a standard work on the subject of risk management. The English edition extends the scope of use to the English-language bachelor's and master's degree courses in economics and for potential use (especially as a reference work) in the professional practice of risk management. The subject of the book is company-wide risk management based on the Value at Risk concept. This includes quantitative and qualitative risk measurement, risk analysis based on the RoRaC and various management tools for risk control. Other topics covered are the peculiarities of the various risk types, e.g. risk management of the effects of climate change, the global financial crisis and risk reporting. The book is rounded off by a comprehensive case study, in which all aspects are summarized. The volume is thus an indispensable standard work for students and practitioners.

Essential Mathematics for Market Risk Management


Author: Simon Hubbert

Publisher: John Wiley & Sons

ISBN: 1119953022

Category: Business & Economics

Page: 416

View: 6022

Everything you need to know in order to manage risk effectively within your organization You cannot afford to ignore the explosion in mathematical finance in your quest to remain competitive. This exciting branch of mathematics has very direct practical implications: when a new model is tested and implemented it can have an immediate impact on the financial environment. With risk management top of the agenda for many organizations, this book is essential reading for getting to grips with the mathematical story behind the subject of financial risk management. It will take you on a journey—from the early ideas of risk quantification up to today's sophisticated models and approaches to business risk management. To help you investigate the most up-to-date, pioneering developments in modern risk management, the book presents statistical theories and shows you how to put statistical tools into action to investigate areas such as the design of mathematical models for financial volatility or calculating the value at risk for an investment portfolio. Respected academic author Simon Hubbert is the youngest director of a financial engineering program in the U.K. He brings his industry experience to his practical approach to risk analysis Captures the essential mathematical tools needed to explore many common risk management problems Website with model simulations and source code enables you to put models of risk management into practice Plunges into the world of high-risk finance and examines the crucial relationship between the risk and the potential reward of holding a portfolio of risky financial assets This book is your one-stop-shop for effective risk management.

Software-Entwicklung für dynamische Portfolioallokation und Risikomanagement


Author: Christoph Impekoven

Publisher: Springer-Verlag

ISBN: 3658011823

Category: Business & Economics

Page: 106

View: 4870

​Christoph Impekoven entwickelt einen Software-Prototyp zur dynamischen Asset-Allocation an den Kapitalmärkten. Der Autor zeigt, dass Portfolio-Allokation ein breites Feld des Financial Engineerings darstellt und der Informatik bis heute neue Herausforderungen bietet. Er klassifiziert die relevanten Methoden der Softwareentwicklung und diskutiert die entsprechenden informationstechnischen Problematiken. Hierzu zählen insbesondere Datenstrukturen und -volumina von kapitalmarktorientierten Softwaresystemen. Abschließend stellt der Autor das eigens entworfene Framework mit realen Beispielen aus der Praxis vor.

Measuring Market Risk


Author: Kevin Dowd

Publisher: John Wiley & Sons

ISBN: 0470016515

Category: Business & Economics

Page: 410

View: 4150

Fully revised and restructured, Measuring Market Risk, Second Edition includes a new chapter on options risk management, as well as substantial new information on parametric risk, non-parametric measurements and liquidity risks, more practical information to help with specific calculations, and new examples including Q&A’s and case studies.

Measuring Market Risk with Value at Risk


Author: Pietro Penza,Vipul K. Bansal

Publisher: John Wiley & Sons

ISBN: 9780471393139

Category: Business & Economics

Page: 302

View: 7882

"This book, Measuring Market Risk with Value at Risk by Vipul Bansal and Pietro Penza, has three advantages over earlier works on the subject. First, it takes a decidedly global approach-an essential ingredient for any comprehensive work on market risk. Second, it ties the scientifically grounded, yet intuitively appealing, VaR measure to earlier, more idiosyncratic measures of market risk that are used in specific market environs (e.g., duration in fixed income). Finally, it encompasses all of the accepted approaches to calculating a VaR measure and presents them in a clearly explained fashion with supporting illustrations and completely worked-out examples." -from the Foreword by John F. Marshall, PhD, Principal, Marshall, Tucker & Associates, LLC "Measuring Market Risk with Value at Risk offers a much-needed intellectual bridge, a translation from the esoteric realm of mathematical finance to the domain of financial managers who seek guidance in applying developments from this important field of research as well as that of MBA-level graduate instruction. I believe the authors have done a commendable job of providing a carefully crafted, highly readable, and most useful work, and intend to recommend it to all those involved in business risk management applications." -Anthony F. Herbst, PhD, Professor of Finance and C.R. and D.S. Carter Chair, The University of Texas, El Paso and Founding editor of The Journal of Financial Engineering (1991-1998) "Finally there's a book that strikes a balance between rigor and application in the area of risk management in the banking industry. This innovative book is a MUST for both novices and professionals alike." -Robert P. Yuyuenyongwatana, PhD, Associate Professor of Finance, Cameron University "Measuring Market Risk with Value at Risk is one of the most complete discussions of this emerging topic in finance that I have seen. The authors develop a logical and rigorous framework for using VaR models, providing both historical references and analytical applications." -Kevin Wynne, PhD, Associate Professor of Finance, Lubin School of Business, Pace University

Financial Risk Forecasting

The Theory and Practice of Forecasting Market Risk with Implementation in R and Matlab


Author: Jon Danielsson

Publisher: John Wiley & Sons

ISBN: 1119977118

Category: Business & Economics

Page: 296

View: 8499

Financial Risk Forecasting is a complete introduction to practical quantitative risk management, with a focus on market risk. Derived from the authors teaching notes and years spent training practitioners in risk management techniques, it brings together the three key disciplines of finance, statistics and modeling (programming), to provide a thorough grounding in risk management techniques. Written by renowned risk expert Jon Danielsson, the book begins with an introduction to financial markets and market prices, volatility clusters, fat tails and nonlinear dependence. It then goes on to present volatility forecasting with both univatiate and multivatiate methods, discussing the various methods used by industry, with a special focus on the GARCH family of models. The evaluation of the quality of forecasts is discussed in detail. Next, the main concepts in risk and models to forecast risk are discussed, especially volatility, value-at-risk and expected shortfall. The focus is both on risk in basic assets such as stocks and foreign exchange, but also calculations of risk in bonds and options, with analytical methods such as delta-normal VaR and duration-normal VaR and Monte Carlo simulation. The book then moves on to the evaluation of risk models with methods like backtesting, followed by a discussion on stress testing. The book concludes by focussing on the forecasting of risk in very large and uncommon events with extreme value theory and considering the underlying assumptions behind almost every risk model in practical use – that risk is exogenous – and what happens when those assumptions are violated. Every method presented brings together theoretical discussion and derivation of key equations and a discussion of issues in practical implementation. Each method is implemented in both MATLAB and R, two of the most commonly used mathematical programming languages for risk forecasting with which the reader can implement the models illustrated in the book. The book includes four appendices. The first introduces basic concepts in statistics and financial time series referred to throughout the book. The second and third introduce R and MATLAB, providing a discussion of the basic implementation of the software packages. And the final looks at the concept of maximum likelihood, especially issues in implementation and testing. The book is accompanied by a website - – which features downloadable code as used in the book.

An Introduction to Market Risk Measurement


Author: Kevin Dowd

Publisher: John Wiley & Sons

ISBN: 0470855207

Category: Business & Economics

Page: 304

View: 501

Includes a CD-ROM that contains Excel workbooks and a Matlab manual and software. Covers the subject without advanced or exotic material.

Bubble Value at Risk

A Countercyclical Risk Management Approach


Author: Max C. Y. Wong

Publisher: John Wiley & Sons

ISBN: 1118550374

Category: Business & Economics

Page: 400

View: 9576

Introduces a powerful new approach to financial risk modelingwith proven strategies for its real-world applications The 2008 credit crisis did much to debunk the much touted powersof Value at Risk (VaR) as a risk metric. Unlike most authors on VaRwho focus on what it can do, in this book the author looks at whatit cannot. In clear, accessible prose, finance practitioners, MaxWong, describes the VaR measure and what it was meant to do, thenexplores its various failures in the real world of crisis riskmanagement. More importantly, he lays out a revolutionary newmethod of measuring risks, Bubble Value at Risk, that iscountercyclical and offers a well-tested buffer against marketcrashes. Describes Bubble VaR, a more macro-prudential risk measureproven to avoid the limitations of VaR and by providing a moreaccurate risk exposure estimation over market cycles Makes a strong case that analysts and risk managers need tounlearn our existing "science" of risk measurement and discovermore robust approaches to calculating risk capital Illustrates every key concept or formula with an abundance ofpractical, numerical examples, most of them provided in interactiveExcel spreadsheets Features numerous real-world applications, throughout, based onthe author’s firsthand experience as a veteran financial riskanalyst

Running Lean : [das How-to für erfolgreiche Innovationen ; für Startups, Existenzgründer und Produktentwickler]


Author: Ash Maurya

Publisher: O'Reilly Germany

ISBN: 3955611272


Page: 214

View: 3012

Warum scheitern so viele Startups und neue Produkte? Und wie kann man die Chancen deutlich erhohen, mit einer Innovation erfolgreich zu sein? Als Antwort auf diese Fragen hat Ash Maurya die in diesem Buch vorgestellte Methode entwickelt, die auf Strategien des Lean Management und der agilen Entwicklung aufbaut und speziell auf Innovationsprozesse zugeschnitten ist. Der Trick besteht darin, fruhzeitig, konsequent und in allen Projektphasen potenzielle Kunden in den Entwicklungsprozess einzubeziehen und das eigene Geschaftsmodell immer wieder zu hinterfragen. Ein entscheidendes Tool ist dabei die "Lean Canvas," ein Template, das eine einfache Visualisierung des Businessplans ermoglicht und erheblich einfacher zu erfassen und zu uberarbeiten ist als die ublichen, viele Seiten starken Konzeptpapiere. Ash Maurya hat die Methode anhand eigener Projekte entwickelt und erfolgreich getestet. In Running Lean erlautert er sie ganz praktisch mit Schritt-fur-Schritt-Anleitungen anhand eines konkreten Beispiels. Alle Schritte konnen einfach nachvollzogen und auf die eigenen Innovationsprojekte angewandt werden. Die Lean Canvas sowie die Fragebogen fur Kundeninterviews lassen sich direkt aus dem Buch ubernehmen. Ein Problem identifizieren, das viele Menschen umtreibt, und eine Losung dafur definieren. Die Kunden in den gesamten Entwicklungsprozess einbinden. Das Produkt / die Idee kontinuierlich testen, in immer kurzeren Iterationszyklen. Erkennen, wann die Marschrichtung geandert werden sollte. Entwicklungsgeschwindigkeit, Erkenntnisprozesse und Ausrichtung optimieren. Den idealen Zeitpunkt fur Finanzierungsrunden finden.

Market Risk Management for Hedge Funds

Foundations of the Style and Implicit Value-at-Risk


Author: Francois Duc,Yann Schorderet

Publisher: John Wiley & Sons

ISBN: 0470740795

Category: Business & Economics

Page: 262

View: 2961

This book provides a cutting edge introduction to market risk management for Hedge Funds, Hedge Funds of Funds, and the numerous new indices and clones launching coming to market on a near daily basis. It will present the fundamentals of quantitative risk measures by analysing the range of Value-at-Risk (VaR) models used today, addressing the robustness of each model, and looking at new risk measures available to more effectively manage risk in a hedge fund portfolio. The book begins by analysing the current state of the hedge fund industry - at the ongoing institutionalisation of the market, and at its latest developments. It then moves on to examine the range of risks, risk controls, and risk management strategies currently employed by practitioners, and focuses on particular risks embedded in the more classic investment strategies such as Long/Short, Convertible Arbitrage, Fixed Income Arbitrage, Short selling and risk arbitrage. Addressed along side these are other risks common to hedge funds, including liquidity risk, leverage risk and counterparty risk. The book then moves on to examine more closely two models which provide the underpinning for market risk management in investment today - Style Value-at-Risk and Implicit Value-at-Risk. As well as full quantitative analysis and backtesting of each methodology, the authors go on to propose a new style model for style and implicit Var, complete with analysis, real life examples and backtesting. The authors then go on to discuss annualisation issues and risk return before moving on to propose a new model based on the authors own Best Choice Implicit VaR approach, incorporating quantitative analysis, market results and backtesting and also its potential for new hedge fund clone products. This book is the only guide to VaR for Hedge Funds and will prove to be an invaluable resource as we embark into an era of increasing volatility and uncertainty.

Fundamentals of Financial Management


Author: Eugene F. Brigham,Joel F. Houston

Publisher: Cengage Learning

ISBN: 1133709125

Category: Business & Economics

Page: 816

View: 5093

With the same contemporary approach and dynamic examples that made previous editions so popular, this fully revised thirteenth edition of FUNDAMENTALS OF FINANCIAL MANAGEMENT continues to provide students with a focused understanding of today's corporate finance and financial management. This market-leading text offers a unique balance of clear concepts, contemporary theory, and practical applications in order to help students understand the concepts and reasons behind corporate budgeting, financing, working capital decision making, forecasting, valuation, and Time Value of Money (TVM). The thirteenth edition has been updated to include discussions of several major events such as the BP oil spill, the European debt crisis, and the ongoing weakness in the economy and financial markets. Numerous practical examples, Quick Questions, proven end-of-chapter applications, Integrated Cases, and real-world examples demonstrate theory in action. A comprehensive support package --prepared by the text authors -- connects closely with the book to reduce preparation time and reinforce students understanding. You can also engage your students with a variety of tools including Thomson One Business School Edition, the same financial online database professionals use every day; updated Excel spreadsheets models; today's leading online homework solution, Aplia for Finance; and CengageNOW course management system. Important Notice: Media content referenced within the product description or the product text may not be available in the ebook version.

Multi-Asset Risk Modeling

Techniques for a Global Economy in an Electronic and Algorithmic Trading Era


Author: Morton Glantz,Robert Kissell

Publisher: Academic Press

ISBN: 0124016944

Category: Business & Economics

Page: 544

View: 3890

Multi-Asset Risk Modeling describes, in a single volume, the latest and most advanced risk modeling techniques for equities, debt, fixed income, futures and derivatives, commodities, and foreign exchange, as well as advanced algorithmic and electronic risk management. Beginning with the fundamentals of risk mathematics and quantitative risk analysis, the book moves on to discuss the laws in standard models that contributed to the 2008 financial crisis and talks about current and future banking regulation. Importantly, it also explores algorithmic trading, which currently receives sparse attention in the literature. By giving coherent recommendations about which statistical models to use for which asset class, this book makes a real contribution to the sciences of portfolio management and risk management. Covers all asset classes Provides mathematical theoretical explanations of risk as well as practical examples with empirical data Includes sections on equity risk modeling, futures and derivatives, credit markets, foreign exchange, and commodities

Risk Budgeting

Portfolio Problem Solving with Value-at-Risk


Author: Neil D. Pearson

Publisher: John Wiley & Sons

ISBN: 1118160835

Category: Business & Economics

Page: 336

View: 9591

Covers the hottest topic in investment for multitrillion pension market and institutional investors Institutional investors and fund managers understand they must take risks to generate superior investment returns, but the question is how much. Enter the concept of risk budgeting, using quantitative risks measurements, including VaR, to solve the problem. VaR, or value at risk, is a concept first introduced by bank dealers to establish parameters for their market short-term risk exposure. This book introduces VaR, extreme VaR, and stress-testing risk measurement techniques to major institutional investors, and shows them how they can implement formal risk budgeting to more efficiently manage their investment portfolios. Risk Budgeting is the most sophisticated and advanced read on the subject out there in the market.

Computational Science – ICCS 2008

8th International Conference, Kraków, Poland, June 23-25, 2008, Proceedings


Author: Marian Bubak,Geert Dick van Albada,Jack Dongarra,Peter M.A. Sloot

Publisher: Springer Science & Business Media

ISBN: 3540693866

Category: Computers

Page: 752

View: 6660

– Martin Walker:NewParadigmsforComputationalScience – Yong Shi:MultipleCriteriaMathematicalProgrammingandDataMining – Hank Childs: Why Petascale Visualization and Analysis Will Change the Rules – Fabrizio Gagliardi:HPCOpportunitiesandChallengesine-Science – Pawel Gepner:Intel'sTechnologyVisionandProductsforHPC – Jarek Nieplocha:IntegratedDataandTaskManagementforScienti?c- plications – Neil F. Johnson:WhatDoFinancialMarkets,WorldofWarcraft,andthe War in Iraq, all Have in Common? Computational Insights into Human CrowdDynamics We would like to thank all keynote speakers for their interesting and inspiring talks and for submitting the abstracts and papers for these proceedings. Fig. 1. Number of papers in the general track by topic The main track of ICSS 2008 was divided into approximately 20 parallel sessions (see Fig. 1) addressing the following topics: 1. e-Science Applications and Systems 2. Scheduling and Load Balancing 3. Software Services and Tools Preface VII 4. New Hardware and Its Applications 5. Computer Networks 6. Simulation of Complex Systems 7. Image Processing and Visualization 8. Optimization Techniques 9. Numerical Linear Algebra 10. Numerical Algorithms # papers 25 23 19 20 17 14 14 15 10 10 10 10 9 10 8 8 8 7 5 0 Fig. 2. Number of papers in workshops The conference included the following workshops (Fig. 2): 1. 7th Workshop on Computer Graphics and Geometric Modeling 2. 5th Workshop on Simulation of Multiphysics Multiscale Systems 3. 3rd Workshop on Computational Chemistry and Its Applications 4. Workshop on Computational Finance and Business Intelligence 5. Workshop on Physical, Biological and Social Networks 6. Workshop on GeoComputation 7. 2nd Workshop on Teaching Computational Science 8.

Understanding Financial Risk Management


Author: Angelo Corelli

Publisher: Routledge

ISBN: 1317753828

Category: Business & Economics

Page: 486

View: 9020

Financial Risk Management is a topic of primary importance in financial markets and, more generally, in life. Risk can be seen as an opportunity if related to the concept of compensative return. It is therefore important to learn how to measure and control risk, in order to get exposure to as much risk as is necessary to achieve some level of compensation, without further useless exposure. This book analyses the various types of financial risk a financial institution faces in everyday operations. Each type of risk is dealt with using a rigorous mix of analytical and theoretical approach, describing all the major models available in the literature, with an innovative look at the topic. This book covers the following aspects of risks and provides introductory overviews the most relevant statistical and mathematical tools: Market Risk Interest Rate Risk Credit Risk Liquidity Risk Operational Risk Currency Risk Volatility Risk Understanding Financial Risk Management offers an innovative approach to financial risk management. With a broad view of theory and the industry, it aims at being a friendly, but serious, starting point for those who encounter risk management for the first time, as well as for more advanced users.