Author: Greg N. Gregoriou
Publisher: McGraw Hill Professional
ISBN: 0071732667
Category : Business & Economics
Languages : en
Pages : 26
Book Description
The following is a chapter from The VaR Implementation Handbook, which examines the latest strategies for measuring, managing, and modeling risk across a variety of applications. Packed with the insights, methods, and models that make experienced professionals competitive all over the world, this comprehensive guide features cutting-edge research and findings from some of the industry's most respected academics, practitioners, and consultants.
The VAR Implementation Handbook, Chapter 7 - Explaining Cross-Sectional Differences in Credit Default Swap Spreads: An Alternative Approach Using Value at Risk
Author: Greg N. Gregoriou
Publisher: McGraw Hill Professional
ISBN: 0071732667
Category : Business & Economics
Languages : en
Pages : 26
Book Description
The following is a chapter from The VaR Implementation Handbook, which examines the latest strategies for measuring, managing, and modeling risk across a variety of applications. Packed with the insights, methods, and models that make experienced professionals competitive all over the world, this comprehensive guide features cutting-edge research and findings from some of the industry's most respected academics, practitioners, and consultants.
Publisher: McGraw Hill Professional
ISBN: 0071732667
Category : Business & Economics
Languages : en
Pages : 26
Book Description
The following is a chapter from The VaR Implementation Handbook, which examines the latest strategies for measuring, managing, and modeling risk across a variety of applications. Packed with the insights, methods, and models that make experienced professionals competitive all over the world, this comprehensive guide features cutting-edge research and findings from some of the industry's most respected academics, practitioners, and consultants.
The VAR Implementation Handbook
Author: Greg N. Gregoriou
Publisher: McGraw Hill Professional
ISBN: 0071615148
Category : Business & Economics
Languages : en
Pages : 562
Book Description
[flap] For investors, risk is about the odds of losing money, and Value at Risk (VaR) is grounded in that common-sense fact. VAR modeling answers, “What is my worst-case scenario?” and “How much could I lose in a really bad month?” However, there has not been an effective guidebook available to help investors and financial managers make their own VaR calculations--until now. The VaR Implementation Handbook is a hands-on road map for professionals who have a solid background in VaR but need the critical strategies, models, and insights to apply their knowledge in the real world. Heralded as “the new science of risk management,” VaR has emerged as the dominant methodology used by financial institutions and corporate treasuries worldwide for estimating precisely how much money is at risk each day in the financial markets. The VaR Implementation Handbook picks up where other books on the subject leave off and demonstrates how, with proper implementation, VaR can be a valuable tool for assessing risk in a variety of areas-from equity to structured and operational products. This complete guide thoroughly covers the three major areas of VaR implementation--measuring, modeling risk, and managing--in three convenient sections. Savvy professionals will keep this handbook at their fingertips for its: Reliable advice from 40 recognized experts working in universities and financial institutions around the world Effective methods and measures to ensure that implemented VaR models maintain optimal performance Up-to-date coverage on newly exposed areas of volatility, including derivatives Real-world prosperity requires making informed financial decisions. The VaR Implementation Handbook is a step-by-step playbook to getting the most out of VaR modeling so you can successfully manage financial risk.
Publisher: McGraw Hill Professional
ISBN: 0071615148
Category : Business & Economics
Languages : en
Pages : 562
Book Description
[flap] For investors, risk is about the odds of losing money, and Value at Risk (VaR) is grounded in that common-sense fact. VAR modeling answers, “What is my worst-case scenario?” and “How much could I lose in a really bad month?” However, there has not been an effective guidebook available to help investors and financial managers make their own VaR calculations--until now. The VaR Implementation Handbook is a hands-on road map for professionals who have a solid background in VaR but need the critical strategies, models, and insights to apply their knowledge in the real world. Heralded as “the new science of risk management,” VaR has emerged as the dominant methodology used by financial institutions and corporate treasuries worldwide for estimating precisely how much money is at risk each day in the financial markets. The VaR Implementation Handbook picks up where other books on the subject leave off and demonstrates how, with proper implementation, VaR can be a valuable tool for assessing risk in a variety of areas-from equity to structured and operational products. This complete guide thoroughly covers the three major areas of VaR implementation--measuring, modeling risk, and managing--in three convenient sections. Savvy professionals will keep this handbook at their fingertips for its: Reliable advice from 40 recognized experts working in universities and financial institutions around the world Effective methods and measures to ensure that implemented VaR models maintain optimal performance Up-to-date coverage on newly exposed areas of volatility, including derivatives Real-world prosperity requires making informed financial decisions. The VaR Implementation Handbook is a step-by-step playbook to getting the most out of VaR modeling so you can successfully manage financial risk.
Credit Default Swaps
Author: Marti Subrahmanyam
Publisher: Now Publishers
ISBN: 9781601989000
Category : Business & Economics
Languages : en
Pages : 150
Book Description
Credit Default Swaps: A Survey is the most comprehensive review of all major research domains involving credit default swaps (CDS). CDS have been growing in importance in the global financial markets. However, their role has been hotly debated, in industry and academia, particularly since the credit crisis of 2007-2009. The authors review the extant literature on CDS that has accumulated over the past two decades and divide the survey into seven topics after providing a broad overview in the introduction. The second section traces the historical development of CDS markets and provides an introduction to CDS contract definitions and conventions. The third section discusses the pricing of CDS, from the perspective of no-arbitrage principles, structural, and reduced-form credit risk models. It also summarizes the literature on the determinants of CDS spreads, with a focus on the role of fundamental credit risk factors, liquidity and counterparty risk. The fourth section discusses how the development of the CDS market has affected the characteristics of the bond and equity markets, with an emphasis on market efficiency, price discovery, information flow, and liquidity. Attention is also paid to the CDS-bond basis, the wedge between the pricing of the CDS and its reference bond, and the mispricing between the CDS and the equity market. The fifth section examines the effect of CDS trading on firms' credit and bankruptcy risk, and how it affects corporate financial policy, including bond issuance, capital structure, liquidity management, and corporate governance. The sixth section analyzes how CDS impact the economic incentives of financial intermediaries. The seventh section reviews the growing literature on sovereign CDS and highlights the major differences between the sovereign and corporate CDS markets. The eighth section discusses CDS indices, especially the role of synthetic CDS index products backed by residential mortgage-backed securities during the financial crisis. The authors close with our suggestions for promising future research directions on CDS contracts and markets.
Publisher: Now Publishers
ISBN: 9781601989000
Category : Business & Economics
Languages : en
Pages : 150
Book Description
Credit Default Swaps: A Survey is the most comprehensive review of all major research domains involving credit default swaps (CDS). CDS have been growing in importance in the global financial markets. However, their role has been hotly debated, in industry and academia, particularly since the credit crisis of 2007-2009. The authors review the extant literature on CDS that has accumulated over the past two decades and divide the survey into seven topics after providing a broad overview in the introduction. The second section traces the historical development of CDS markets and provides an introduction to CDS contract definitions and conventions. The third section discusses the pricing of CDS, from the perspective of no-arbitrage principles, structural, and reduced-form credit risk models. It also summarizes the literature on the determinants of CDS spreads, with a focus on the role of fundamental credit risk factors, liquidity and counterparty risk. The fourth section discusses how the development of the CDS market has affected the characteristics of the bond and equity markets, with an emphasis on market efficiency, price discovery, information flow, and liquidity. Attention is also paid to the CDS-bond basis, the wedge between the pricing of the CDS and its reference bond, and the mispricing between the CDS and the equity market. The fifth section examines the effect of CDS trading on firms' credit and bankruptcy risk, and how it affects corporate financial policy, including bond issuance, capital structure, liquidity management, and corporate governance. The sixth section analyzes how CDS impact the economic incentives of financial intermediaries. The seventh section reviews the growing literature on sovereign CDS and highlights the major differences between the sovereign and corporate CDS markets. The eighth section discusses CDS indices, especially the role of synthetic CDS index products backed by residential mortgage-backed securities during the financial crisis. The authors close with our suggestions for promising future research directions on CDS contracts and markets.
The VAR Implementation Handbook, Chapter 11 - Modeling Portfolio Risks with Time-Dependent Default Rates in Venture Capital
Author: Greg N. Gregoriou
Publisher: McGraw Hill Professional
ISBN: 0071732705
Category : Business & Economics
Languages : en
Pages : 26
Book Description
The following is a chapter from The VaR Implementation Handbook, which examines the latest strategies for measuring, managing, and modeling risk across a variety of applications. Packed with the insights, methods, and models that make experienced professionals competitive all over the world, this comprehensive guide features cutting-edge research and findings from some of the industry's most respected academics, practitioners, and consultants.
Publisher: McGraw Hill Professional
ISBN: 0071732705
Category : Business & Economics
Languages : en
Pages : 26
Book Description
The following is a chapter from The VaR Implementation Handbook, which examines the latest strategies for measuring, managing, and modeling risk across a variety of applications. Packed with the insights, methods, and models that make experienced professionals competitive all over the world, this comprehensive guide features cutting-edge research and findings from some of the industry's most respected academics, practitioners, and consultants.
The VAR Implementation Handbook, Chapter 6 - Value-at-Risk Performance Criterion: A Performance Measure for Evaluating Value-at-Risk Models
Author: Greg N. Gregoriou
Publisher: McGraw Hill Professional
ISBN: 0071732659
Category : Business & Economics
Languages : en
Pages : 19
Book Description
The following is a chapter from The VaR Implementation Handbook, which examines the latest strategies for measuring, managing, and modeling risk across a variety of applications. Packed with the insights, methods, and models that make experienced professionals competitive all over the world, this comprehensive guide features cutting-edge research and findings from some of the industry's most respected academics, practitioners, and consultants.
Publisher: McGraw Hill Professional
ISBN: 0071732659
Category : Business & Economics
Languages : en
Pages : 19
Book Description
The following is a chapter from The VaR Implementation Handbook, which examines the latest strategies for measuring, managing, and modeling risk across a variety of applications. Packed with the insights, methods, and models that make experienced professionals competitive all over the world, this comprehensive guide features cutting-edge research and findings from some of the industry's most respected academics, practitioners, and consultants.
International Convergence of Capital Measurement and Capital Standards
Author:
Publisher: Lulu.com
ISBN: 9291316695
Category : Bank capital
Languages : en
Pages : 294
Book Description
Publisher: Lulu.com
ISBN: 9291316695
Category : Bank capital
Languages : en
Pages : 294
Book Description
The VAR Implementation Handbook, Chapter 17 - Aggregating and Combining Ratings
Author: Greg N. Gregoriou
Publisher: McGraw Hill Professional
ISBN: 0071732764
Category : Business & Economics
Languages : en
Pages : 27
Book Description
The following is a chapter from The VaR Implementation Handbook, which examines the latest strategies for measuring, managing, and modeling risk across a variety of applications. Packed with the insights, methods, and models that make experienced professionals competitive all over the world, this comprehensive guide features cutting-edge research and findings from some of the industry's most respected academics, practitioners, and consultants.
Publisher: McGraw Hill Professional
ISBN: 0071732764
Category : Business & Economics
Languages : en
Pages : 27
Book Description
The following is a chapter from The VaR Implementation Handbook, which examines the latest strategies for measuring, managing, and modeling risk across a variety of applications. Packed with the insights, methods, and models that make experienced professionals competitive all over the world, this comprehensive guide features cutting-edge research and findings from some of the industry's most respected academics, practitioners, and consultants.
The VAR Implementation Handbook, Chapter 4 - Cash Flow at Risk: Linking Strategy and Finance
Author: Greg N. Gregoriou
Publisher: McGraw Hill Professional
ISBN: 0071732632
Category : Business & Economics
Languages : en
Pages : 29
Book Description
The following is a chapter from The VaR Implementation Handbook, which examines the latest strategies for measuring, managing, and modeling risk across a variety of applications. Packed with the insights, methods, and models that make experienced professionals competitive all over the world, this comprehensive guide features cutting-edge research and findings from some of the industry's most respected academics, practitioners, and consultants.
Publisher: McGraw Hill Professional
ISBN: 0071732632
Category : Business & Economics
Languages : en
Pages : 29
Book Description
The following is a chapter from The VaR Implementation Handbook, which examines the latest strategies for measuring, managing, and modeling risk across a variety of applications. Packed with the insights, methods, and models that make experienced professionals competitive all over the world, this comprehensive guide features cutting-edge research and findings from some of the industry's most respected academics, practitioners, and consultants.
The VaR Modeling Handbook: Practical Applications in Alternative Investing, Banking, Insurance, and Portfolio Management
Author: Greg N. Gregoriou
Publisher: McGraw Hill Professional
ISBN: 0071713646
Category : Business & Economics
Languages : en
Pages : 418
Book Description
Value-at-Risk (VaR) is a powerful tool for assessing market risk in real time—a critical insight when making trading and hedging decisions. The VaR Modeling Handbook is the most complete, up-to-date reference on the subject for today’s savvy investors, traders, portfolio managers, and other asset and risk managers. Unlike market risk metrics such as the Greeks, or beta, which are applicable to only certain asset categories and sources of market risk, VaR is applicable to all liquid assets, making it a reliable indicator of total market risk. For this reason, among many others, VaR has become the dominant method for estimating precisely how much money is at risk each day in the financial markets. The VaR Modeling Handbook is a profound volume that delivers practical information on measuring and modeling risk specifically focused on alternative investments, banking, and the insurance sector. The perfect primer to The VaR Implementation Handbook (McGraw- Hill), this foundational resource features The experience of 40 internationally recognized experts Useful perspectives from a wide range of practitioners, researchers, and academics Coverage on applying VaR to hedge fund strategies, microcredit loan portfolios, and economic capital management approaches for insurance companies Each illuminating chapter in The VaR Modeling Handbook presents a specific topic, complete with an abstract and conclusion for quick reference, as well as numerous illustrations that exemplify covered material. Practitioners can gain in-depth, cornerstone knowledge of VaR by reading the handbook cover to cover or take advantage of its user-friendly format by using it as a go-to resource in the real world. Financial success in the markets requires confident decision making, and The VaR Modeling Handbook gives you the knowledge you need to use this state-of-the-art modeling method to successfully manage financial risk.
Publisher: McGraw Hill Professional
ISBN: 0071713646
Category : Business & Economics
Languages : en
Pages : 418
Book Description
Value-at-Risk (VaR) is a powerful tool for assessing market risk in real time—a critical insight when making trading and hedging decisions. The VaR Modeling Handbook is the most complete, up-to-date reference on the subject for today’s savvy investors, traders, portfolio managers, and other asset and risk managers. Unlike market risk metrics such as the Greeks, or beta, which are applicable to only certain asset categories and sources of market risk, VaR is applicable to all liquid assets, making it a reliable indicator of total market risk. For this reason, among many others, VaR has become the dominant method for estimating precisely how much money is at risk each day in the financial markets. The VaR Modeling Handbook is a profound volume that delivers practical information on measuring and modeling risk specifically focused on alternative investments, banking, and the insurance sector. The perfect primer to The VaR Implementation Handbook (McGraw- Hill), this foundational resource features The experience of 40 internationally recognized experts Useful perspectives from a wide range of practitioners, researchers, and academics Coverage on applying VaR to hedge fund strategies, microcredit loan portfolios, and economic capital management approaches for insurance companies Each illuminating chapter in The VaR Modeling Handbook presents a specific topic, complete with an abstract and conclusion for quick reference, as well as numerous illustrations that exemplify covered material. Practitioners can gain in-depth, cornerstone knowledge of VaR by reading the handbook cover to cover or take advantage of its user-friendly format by using it as a go-to resource in the real world. Financial success in the markets requires confident decision making, and The VaR Modeling Handbook gives you the knowledge you need to use this state-of-the-art modeling method to successfully manage financial risk.
The VAR Implementation Handbook, Chapter 1 - Calculating VaR for Hedge Funds
Author: Greg N. Gregoriou
Publisher: McGraw Hill Professional
ISBN: 0071732608
Category : Business & Economics
Languages : en
Pages : 26
Book Description
The following is a chapter from The VaR Implementation Handbook, which examines the latest strategies for measuring, managing, and modeling risk across a variety of applications. Packed with the insights, methods, and models that make experienced professionals competitive all over the world, this comprehensive guide features cutting-edge research and findings from some of the industry's most respected academics, practitioners, and consultants.
Publisher: McGraw Hill Professional
ISBN: 0071732608
Category : Business & Economics
Languages : en
Pages : 26
Book Description
The following is a chapter from The VaR Implementation Handbook, which examines the latest strategies for measuring, managing, and modeling risk across a variety of applications. Packed with the insights, methods, and models that make experienced professionals competitive all over the world, this comprehensive guide features cutting-edge research and findings from some of the industry's most respected academics, practitioners, and consultants.