The VaR Modeling Handbook: Practical Applications in Alternative Investing, Banking, Insurance, and…

Hardcover | June 2, 2009

byGreg N. Gregoriou

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Value-at-Risk (VaR) is a powerful toolfor assessing market risk in real time—a critical insight when making trading andhedging decisions. The VaR Modeling Handbookis the most complete, up-to-date reference onthe subject for today’s savvy investors, traders,portfolio managers, and other asset and riskmanagers.

Unlike market risk metrics such as the Greeks,or beta, which are applicable to only certainasset categories and sources of market risk,VaR is applicable to all liquid assets, makingit a reliable indicator of total market risk. Forthis reason, among many others, VaR has becomethe dominant method for estimatingprecisely how much money is at risk each dayin the financial markets.

The VaR Modeling Handbook is a profoundvolume that delivers practical informationon measuring and modeling risk specificallyfocused on alternative investments, banking,and the insurance sector. The perfect primerto The VaR Implementation Handbook (McGraw-Hill), this foundational resource features

  • The experience of 40 internationallyrecognized experts
  • Useful perspectives from a widerange of practitioners, researchers,and academics
  • Coverage on applying VaR to hedgefund strategies, microcredit loanportfolios, and economic capitalmanagement approaches for insurancecompanies

    Each illuminating chapter in The VaR ModelingHandbook presents a specific topic, completewith an abstract and conclusion for quick reference, as well as numerous illustrations thatexemplify covered material. Practitioners cangain in-depth, cornerstone knowledge of VaRby reading the handbook cover to cover ortake advantage of its user-friendly format byusing it as a go-to resource in the real world.

    Financial success in the markets requires confidentdecision making, and The VaR ModelingHandbook gives you the knowledge you needto use this state-of-the-art modeling methodto successfully manage financial risk.

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From the Publisher

Value-at-Risk (VaR) is a powerful toolfor assessing market risk in real time—a critical insight when making trading andhedging decisions. The VaR Modeling Handbookis the most complete, up-to-date reference onthe subject for today’s savvy investors, traders,portfolio managers, and other asset and riskmanagers.Unlike market risk metrics ...

From the Jacket

The most complete guide to measuringand modeling risk in the real world“The problems tackled in the papers collected here are both important and subtle, and they covera surprisingly broad range of issues.”—Barry Schachter, Director of Quantitative Resources, Moore Capital Management“The use of VaR as a risk metric was adopted globally ...

Greg N. Gregoriou is professor of finance in the School of Business and Economics at State University of New York (Plattsburgh). He has published 25 books and is coeditor for the peer-reviewed Journal of Derivatives and Hedge Funds and editorial board member for the Journal of Wealth Management, Journal of Risk Man...

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Format:HardcoverDimensions:416 pages, 9.3 × 6.3 × 1.44 inPublished:June 2, 2009Publisher:McGraw-Hill EducationLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0071625151

ISBN - 13:9780071625159

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Table of Contents

Section 1: Alternative Investments And Optimization
1: Asset Allocation For Hedge FundStrategies
2: Estimating Value-At-Risk OfInstitutional Portfolios With Alternative Asset Classes
3: Optimal Allocations Based On The Modified VaR vs. Utility-Based Risk Measure
4: Using VaR For Optimizing AndHedging Portfolios
Section 2: Banking and Insurance Sector Applications
5: Capital Standards And Risk Alignment In Banking Firms 6: Risk Return Optimization
7: A Practitioner's Critique OfValue-At-Risk Models
8: VaR For A MicrocreditLoan Portfolio
9: Allocation Of Economic CapitalIn Banking:
10: Capital Requirement Calculation Of A General InsuranceUndertaking
11: Economic Capital ManagementFor Insurance Companies
12: Solvency II