The VAR Implementation Handbook Financial Risk and Measurement, and Modeling by Greg N. Gregoriou

The VAR Implementation Handbook Financial Risk and Measurement, and Modeling by Greg N. Gregoriou
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The VAR Implementation Handbook

Financial Risk and Measurement, and Modeling

by Greg N. Gregoriou

February 19, 2009


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.

Table of contents

1. Efficient VaR

2. Corporate VaR

3. Operational Value-at-Risk

4. VaR Performance Criterion (VPC)

5. Cross-Sectional Differences

6. Advanced Approaches to Calculation

7. Computational Aspects of VaR

8. Bayesian Tail Probabilities

9. Modeling Portfolio Risks

10. Computation of Economic Capital

11. High-Dimensional Portfolios

12. Measuring Portfolio Risks in Venture Capital

13. Evaluation of Sectors Traded on the ISE with VaR Analysis

14. Risk Measures in Portfolio Optimization

15. Modeling Parameter Uncertainty

16. Employing VaR Management Systems

17. Aggregating and Combining Ratings

18. A Critique of Value-at-Risk Models

19. Credit Derivatives

20. Modeling risk in VAR Estimates

21. Heterogeneous Investments Horizons

22. How Investors Face Financial Risk Loss Aversion and Wealth Allocation

23. Dynamical Models for the Value at Risk

Biographical note

Greg N. Gregoriou is professor of finance in the School of Business and Economics at State University of New York (Plattsburgh). He has published twenty-five 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 Management in Financial Institutions, and Brazilian Business Review.