VAR PDF Download

Author: Sue Grayling
Publisher:
ISBN: 9781899332267
Category : Financial futures
Languages : en
Pages : 397

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Book Description
A comprehensive reference source on the development and application of VAR in financial institutions and corporations.

Author: James C. Dobson
Publisher: Thomas Nelson
ISBN: 9780849912801
Category : Family & Relationships
Languages : en
Pages : 0

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Book Description
Dobson and Bauer outline the struggle between value systems in America, the outcome of which will affect the moral welfare of this generation of children. They provide ideas for those who want to counter these negative influences.

Author: Nancy Boyd-Franklin
Publisher: Guilford Publications
ISBN: 1462536530
Category : Education
Languages : en
Pages : 394

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Book Description
Rich with illustrative case material, this book guides mental health professionals to break the cycle of at-risk behavior by engaging adolescents and their families in home, school, and community contexts. The authors explore the multigenerational patterns that shape the lives of poor and ethnic minority adolescents and present innovative strategies for intervening beyond the walls of the agency or clinic. Grounded in research, the book shows how to implement both home-based family therapy and school-based achievement mentoring to provide a comprehensive web of support. Building on the earlier Reaching Out in Family Therapy, this book reflects the ongoing development of the authors' multisystems approach and many other important changes in the field; the majority of the content is completely new. It is an indispensable resource for beginning and experienced professionals or text for courses on adolescent intervention or adolescent mental health.

Author: Laura García Jorcano
Publisher: Ed. Universidad de Cantabria
ISBN: 8481029122
Category : Business & Economics
Languages : en
Pages : 162

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Book Description
The thesis analyzes the effect that the sample size, the asymmetry in the distribution of returns and the leverage in their volatility have on the estimation and forecasting of market risk in financial assets. The goal is to compare the performance of a variety of models for the estimation and forecasting of Value at Risk (VaR) and Expected Shortfall (ES) for a set of assets of different nature: market indexes, individual stocks, bonds, exchange rates, and commodities. The three chapters of the thesis address issues of greatest interest for the measurement of risk in financial institutions and, therefore, for the supervision of risks in the financial system. They deal with technical issues related to the implementation of the Basel Committee's guidelines on some aspects of which very little is known in the academic world and in the specialized financial sector. In the first chapter, a numerical correction is proposed on the values usually estimatedwhen there is little statistical information, either because it is a financial asset (bond, investment fund...) recently created or issued, or because the nature or the structure of the asset or portfolio have recently changed. The second chapter analyzes the relevance of different aspects of risk modeling. The third and last chapter provides a characterization of the preferable methodology to comply with Basel requirements related to the backtesting of the Expected Shortfall.

Author: Saralees Nadarajah
Publisher: MDPI
ISBN: 3038974390
Category : Business & Economics
Languages : en
Pages : 115

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Book Description
This book is a printed edition of the Special Issue "Extreme Values and Financial Risk" that was published in JRFM

Author: Yasuhiro Yamai
Publisher:
ISBN:
Category : Investment analysis
Languages : en
Pages : 46

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Book Description

Author: Max C. Y. Wong
Publisher: John Wiley & Sons
ISBN: 1118550374
Category : Business & Economics
Languages : en
Pages : 271

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Book Description
Introduces a powerful new approach to financial risk modeling with proven strategies for its real-world applications The 2008 credit crisis did much to debunk the much touted powers of Value at Risk (VaR) as a risk metric. Unlike most authors on VaR who focus on what it can do, in this book the author looks at what it cannot. In clear, accessible prose, finance practitioners, Max Wong, describes the VaR measure and what it was meant to do, then explores its various failures in the real world of crisis risk management. More importantly, he lays out a revolutionary new method of measuring risks, Bubble Value at Risk, that is countercyclical and offers a well-tested buffer against market crashes. Describes Bubble VaR, a more macro-prudential risk measure proven to avoid the limitations of VaR and by providing a more accurate risk exposure estimation over market cycles Makes a strong case that analysts and risk managers need to unlearn our existing "science" of risk measurement and discover more robust approaches to calculating risk capital Illustrates every key concept or formula with an abundance of practical, numerical examples, most of them provided in interactive Excel spreadsheets Features numerous real-world applications, throughout, based on the author’s firsthand experience as a veteran financial risk analyst

Author: Jon Danielsson
Publisher: John Wiley & Sons
ISBN: 1119977118
Category : Business & Economics
Languages : en
Pages : 307

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Book Description
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 - www.financialriskforecasting.com – which features downloadable code as used in the book.

Author: Martin Auer
Publisher: Springer
ISBN: 3319723200
Category : Business & Economics
Languages : en
Pages : 174

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Book Description
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 www.value-at-risk.com.

Author: Joachim Klement
Publisher: CFA Institute Research Foundation
ISBN: 1944960473
Category : Business & Economics
Languages : en
Pages : 150

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Book Description
If risk aversion and willingness to take on risk are driven by emotions and we as humans are bad at correctly identifying them, the finance profession has a serious challenge at hand—how to reliably identify the individual risk profile of a retail investor or high-net-worth individual. In this series of CFA Institute Research Foundation briefs, we have asked academics and practitioners to summarize the current state of knowledge about risk profiling in different key areas.