The VaR implementation 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: 528
ISBN-13: 9780071615136
Subjects: Risikomanagement; Asset-liability management; Investeringen; Financial risk management; Portfolio-Management; Value at Risk; Beleggingen; Simulation methods; Versicherung; Risicoanalyse; Bank
Notes: Series from jacket.

Includes bibliographical references and index.
Table of contents: title: Calculating VaR for hedge funds / Monica Billio, Mila Getmansky, and Loriana Pelizzon; title: Efficient VaR : using past forecast performance to generate improved VaR forecasts / Kevin Dowd and Carlos Blanco; title: Applying VaR to hedge fund trading strategies : limitations and challenges / R. McFall Lamm Jr.; title: Cash flow at risk : linking strategy and finance / Ulrich Hommel; title: Plausible operational value-at-risk calculations for management decision making / Wilhelm Kross, Ulrich Hommel, and Martin Wiethuechter; title: Value-at-risk performance criterion : a performance measure for evaluating value-at-risk models / Zeno Adams and Roland Füss; title: Explaining cross-sectional differences in credit default swap spreads : an alternative approach using value at risk / Bastian Breitenfellner and Niklas Wagner; title: Some advanced approaches to VaR calculation and measurement / François-Éric Racicot and Raymond Théoret; title: Computational aspects of value at risk / Germán Navarro and Ignacio Olmeda; title: Value-at-risk-based stop-loss trading / Bernd Scherer; title: Modeling portfolio risks with time-dependent default rates in venture capital / Andreas Kemmerer, Jan Rietzschel, and Henry Schoenball; title: Risk aggregation and computation of total economic capital / Peter Grundke; title: Value at risk for high-dimensional portfolios : a dynamic grouped t-copula approach / Dean Fantazzini; title: A model to measure portfolio risks in venture capital / Andreas Kemmerer; title: Risk measures and their applications in asset management / S. Ilker Birbil ... [et al.]; title: Risk evaluation of sectors traded at the ISE with VaR analysis / Mehmet Orhan and Gökhan Karaahmet; title: Aggregating and combining ratings / Rafael Wei€bach, Frederik Kramer, and Claudia Lawrenz; title: Risk-mananging the uncertainty in VaR model parameters / Jason C. Hsu and Vitali Kalesnik; title: Structural credit modeling and its relationship to market value at risk : an Australian sectoral perspective / David E. Allen and Robert Powell; title: Model risk in VAR calculations / Peter Schaller; title: Option pricing with constant and time-varying volatility / Willi Semmler and Karim M. Youssef; title: Value at risk under heterogeneous investment horizons and spatial relations / Viviana Fernandez; title: How investors face financial risk loss aversion and wealth allocation with two-dimensional individual utility : a VaR application / Erick W. Rengifo and Emanuela Trifan.