Kevin Dowd – Beyond Value At Risk

DESCRIPTION

A comprehensive guide to value at risk and risk management is one of the hottest topics in the finance world. Calculating risk management is used by regulators for banks and finance houses. Beyond Value at Risk provides a comprehensive guide to recent developments and existing approaches to VaR and risk management, going beyond traditional approaches to the subject and offering a new, far-reaching perspective on investment, hedging and portfolio decision-making. The key to this approach is a new decision rule called the Generalised Sharpe Rule. The answers to key questions are provided by Beyond Value at Risk. VaR and related systems can be implemented in the real world. How to estimate the effect of investment decisions. Is it possible to make hedging decisions. There is a way to manage a portfolio. Financial professionals, academics and students have comprehensive coverage of VaR.

TABLE OF CONTENTS

The introduction to VAR.

There is a revolution in risk management.

VaR basics.

There are different measures to measure VAR.

The approach is called the variance-covariance approach.

The approach to historical simulation.

There are related approaches to Monte Carlo simulation.

Testing for stress.

Risk management.

Evaluating performance is related to risk adjusting returns.

Making a decision.

Credit risk.

Legal and operational risks.

Capital should be moved.

Firm-wide risk management.

There is a glossary of main terms.

There is a bibliography.

Indexes.