The VaR modeling handbook
By: Greg N. Gregoriou, editor
Series: [McGraw-Hill finance & investing]; McGraw-Hill finance & investing
Publisher: McGraw-Hill
Published: 2009
Place of publication: New York
Language: eng
Number of pages: 392
ISBN-13: 9780071625159
Subjects: Simulation methods; Financial risk management; Asset-liability management
Other titles: Value-at-risk modeling handbook
Notes: Series from jacket.

Subtitle on jacket: Practical applications in alternative investing, banking, insurance, and portfolio management.

Includes bibliographical references and index.
Table of contents: title: Asset allocation for hedge fund strategies : how to better manage tail risk / Arjan Berkelaar, Adam Kobor, and Roy Kouwenberg; title: Estimating value at risk of institutional portfolios with alternative asset classes / Roy Kouwenberg ... [et al.]; title: A comparison between optimal allocations based on the modified VaR and those based on a utility-based risk measure / Laurent Bodson, Alain Cöen, and Georges Hübner; title: Using CVaR to optimize and hedge portfolios / Francesco Menoncin; title: Value at risk, capital standards, and risk alignment in banking firms / Guy Ford, Tyrone M. Carlin, and Nigel Finch; title: The asset-liability management compound option model : a  public debt management tool / Jorge A. Chan-Lau and André O. Santos; title: A practitioner's critique of value-at-risk models / Robert Dubil; title: Value at risk for a microcredit loan portfolio : an African microfinance institution case study / René Azokli, Emmanuel Fragnière, and Akimou Ossé; title: Allocation of economic capital in banking : a simulation approach / Hans-Peter Burghof and Jan Müller; title: Using tail conditional expectation for capital requirement calculation of a general insurance undertaking / João L.C. Duque, Alfredo D. Egídio dos Reis, and Ricardo Garcia; title: Economic capital management for insurance companies / Rossella Bisignani, Giovanni Masala, and Marco Micocci; title: Solvency II : an important case in applied VaR / Alfredo D. Egídio dos Reis, Raquel M. Gaspar, and Ana T. Vicente; title: Quantile-based tail risk estimation for equity portfolios / John Cotter and Kevin Dowd; title: Optimal mixed-asset portfolios / Juliane Proelss and Denis Schweizer; title: Value-at-risk-adjusted performance for structured portfolios / Rosa Cocozza.