The VAR Implementation Handbook

✍ Scribed by Gregoriou, Greg N

Publisher: McGraw-Hill
Year: 2009
Tongue: English
Category: Library

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✦ Table of Contents

Efficient VaR 2. Corporate VaR 3. Operational Value-at-Risk 4. VaR Performance Criterion (VPC) 5. Cross-Sectional Differences 6. Advanced Approaches to Calculation 7. Computational Aspects of VaR 8. Bayesian Tail Probabilities 9. Modeling Portfolio Risks 10. Computation of Economic Capital 11. High-Dimensional Portfolios 12. Measuring Portfolio Risks in Venture Capital 13. Evaluation of Sectors Traded on the ISE with VaR Analysis 14. Risk Measures in Portfolio Optimization 15. Modeling Parameter Uncertainty 16. Employing VaR Management Systems 17. Aggregating and Combining Ratings 18. A Critique of Value-at-Risk Models 19. Credit Derivatives 20. Modeling risk in VAR Estimates 21. Heterogeneous Investments Horizons 22. How Investors Face Financial Risk Loss Aversion and Wealth Allocation 23. Dynamical Models for the Value at Risk

✦ Subjects

Beleggingen;Investeringen;Risicoanalyse

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