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Market Risk Analysis, Volume IV, Value at Risk Models

Wiley, J,
E-Book ( PDF mit Adobe DRM )
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Written by leading market risk academic, Professor Carol Alexander,Value-at-Risk Models forms part four of the Market RiskAnalysis four volume set. Building on the three previousvolumes this book provides by far the most comprehensive, rigorousand detailed treatment of market VaR models. It rests on the basicknowledge of financial mathematics and statistics gained fromVolume I, of factor models, principal component analysis,statistical models of volatility and correlation and copulas fromVolume II and, from Volume III, knowledge of pricing and hedgingfinancial instruments and of mapping portfolios of similarinstruments to risk factors. A unifying characteristic of theseries is the pedagogical approach to practical examples that arerelevant to market risk analysis in practice.
All together, the Market Risk Analysis four volume setillustrates virtually every concept or formula with a practical,numerical example or a longer, empirical case study. Across allfour volumes there are approximately 300 numerical and empiricalexamples, 400 graphs and figures and 30 case studies many of whichare contained in interactive Excel spreadsheets available from thethe accompanying CD-ROM. Empirical examples and case studiesspecific to this volume include:
* Parametric linear value at risk (VaR)models: normal, Student tand normal mixture and their expected tail loss (ETL);
* New formulae for VaR based on autocorrelated returns;
* Historical simulation VaR models: how to scale historical VaRand volatility adjusted historical VaR;
* Monte Carlo simulation VaR models based on multivariate normaland Student t distributions, and based on copulas;
* Examples and case studies of numerous applications to interestrate sensitive, equity, commodity and internationalportfolios;
* Decomposition of systematic VaR of large portfolios intostandard alone and marginal VaR components;
* Backtesting and the assessment of risk model risk;
* Hypothetical factor push and historical stress tests, andstress testing based on VaR and ETL.


Titel: Market Risk Analysis, Volume IV, Value at Risk Models
Autoren/Herausgeber: Carol Alexander
Aus der Reihe: Wiley Finance Series
Ausgabe: 1. Auflage

ISBN/EAN: 9780470745076

Seitenzahl: 492
Produktform: E-Book
Sprache: Englisch

Carol Alexander is a Professor of Risk Management at the ICMA Centre, University of Reading, and Chair of the Academic Advisory Council of the Professional Risk Manager's International Association (PRMIA). She is the author of Market Models: A Guide to Financial Data Analysis(John Wiley & Sons Ltd, 2001) and has been editor and contributor of a very large number of books in finance and mathematics, including the multi-volume Professional Risk Manager's Handbook(McGraw-Hill, 2008 and PRMIA Publications). Carol has published nearly 100 academic journal articles, book chapters and books, the majority of which focus on financial risk management and mathematical finance. Professor Alexander is one of the world's leading authorities on market risk analysis. For further details, see www.icmacentre.rdg.ac.uk/alexander

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