The theory of Value at Risk (VaR), which quantifies the probability of large losses in financial transactions, won the Nobel Prize in economics for Robert Merton. As trading systems have become more complex, however, the dangers of very large losses have become more acute. The near collapse of the hedge fund Long-Term Capital Management, based on the VaR theory, is perhaps the most spectacular example: it was not stable against large and sudden fluctuations in the financial markets. This collection of papers by leading researchers addresses the weaknesses of VaR and how it might be possible to circumvent them. A crucial question is to establish what is a good measure of risk, and the further developments of VaR are considered in this light.
"synopsis" may belong to another edition of this title.
The theory of Value at Risk (VaR), which quantifies the probability of large losses in financial transactions, won the Nobel Prize in economics for Robert Merton. The collapse of the hedge fund Long-Term Capital Management, based on the VaR theory, showed that it was limited, however. This collection of papers by leading researchers, the result of a Newton Institute workshop, addresses the weaknesses of VaR and suggests means of circumventing them. It will be appreciated by graduate students and professionals in financial risk analysis.
"...studying the articles in this volume will give the reader a profound picture of the foundations of modern risk management in the static case." Journal of the American Statistical Association
"About this title" may belong to another edition of this title.
Shipping:
US$ 33.20
From United Kingdom to U.S.A.
Shipping:
US$ 3.99
Within U.S.A.
Seller: Lucky's Textbooks, Dallas, TX, U.S.A.
Condition: New. Seller Inventory # ABLIING23Feb2215580246038
Quantity: Over 20 available
Seller: Ria Christie Collections, Uxbridge, United Kingdom
Condition: New. PRINT ON DEMAND Book; New; Fast Shipping from the UK. No. book. Seller Inventory # ria9780521169639_lsuk
Quantity: Over 20 available
Seller: Chiron Media, Wallingford, United Kingdom
PF. Condition: New. Seller Inventory # 6666-IUK-9780521169639
Quantity: 10 available
Seller: Brook Bookstore On Demand, Napoli, NA, Italy
Condition: new. Questo è un articolo print on demand. Seller Inventory # b04d6d6372578e82c115221112281712
Quantity: Over 20 available
Seller: THE SAINT BOOKSTORE, Southport, United Kingdom
Paperback / softback. Condition: New. This item is printed on demand. New copy - Usually dispatched within 5-9 working days. Seller Inventory # C9780521169639
Quantity: Over 20 available
Seller: Biblios, Frankfurt am main, HESSE, Germany
Condition: New. Seller Inventory # 18614742
Quantity: 3 available
Seller: AHA-BUCH GmbH, Einbeck, Germany
Taschenbuch. Condition: Neu. Druck auf Anfrage Neuware - Printed after ordering - 2002 Collection of papers on financial risk analysis, addressing the weaknesses of Value at Risk theory. Seller Inventory # 9780521169639
Quantity: 1 available
Seller: moluna, Greven, Germany
Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. In this 2002 book some of the leading figures in risk management examine the complex issues governing the stability of the global financial system. Chapters present a mix of theory and practice, from axiomatics, measurement and extreme value theory to opera. Seller Inventory # 446928567
Quantity: Over 20 available
Seller: dsmbooks, Liverpool, United Kingdom
paperback. Condition: Like New. Like New. book. Seller Inventory # D8F0-0-M-0521169631-6
Quantity: 1 available
Seller: Iridium_Books, DH, SE, Spain
Condition: Muy Bueno / Very Good. Seller Inventory # 100000000194095
Quantity: 1 available