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Synopsis
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.
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Book Description
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.
Review
"...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
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Risk Management: Value at Risk and Beyond
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Cambridge University Press, 2002
ISBN 10: 0521781809
ISBN 13: 9780521781800
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Condition: Fair. This is an ex-library book and may have the usual library/used-book markings inside.This book has hardback covers. Clean from markings In fair condition, suitable as a study copy. Dust jacket in fair condition. Please note the Image in this listing is a stock photo and may not match the covers of the actual item,750grams, ISBN:9780521781800. Seller Inventory # 9703579
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Risk Management: Value at Risk and Beyond
Published by
Cambridge University Press, 2002
ISBN 10: 0521781809
ISBN 13: 9780521781800
Used
Hardcover
Seller: Anybook.com, Lincoln, United Kingdom
Seller rating 5 out of 5 stars
Condition: Fair. This is an ex-library book and may have the usual library/used-book markings inside.This book has hardback covers. Clean from markings In fair condition, suitable as a study copy. Dust jacket in fair condition. Please note the Image in this listing is a stock photo and may not match the covers of the actual item,700grams, ISBN:9780521781800. Seller Inventory # 9703578
Quantity: 1 available
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Risk Management
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ISBN 10: 0521781809
ISBN 13: 9780521781800
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Risk Management
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Risk Management: Value at Risk and Beyond
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Cambridge University Press, 2002
ISBN 10: 0521781809
ISBN 13: 9780521781800
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Risk Management
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Risk Management: Value at Risk and Beyond
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ISBN 13: 9780521781800
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Risk Management: Value at Risk and Beyond
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ISBN 13: 9780521781800
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Risk Management (Hardcover)
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Cambridge University Press, Cambridge, 2002
ISBN 10: 0521781809
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Hardcover. Condition: new. Hardcover. The use of derivative products in risk management has spread from commodities, stocks and fixed income items, to such virtual commodities as energy, weather and bandwidth. All this can give rise to so-called volatility and there has been a consequent development in formal risk management techniques to cover all types of risk: market, credit, liquidity, etc. One of these techniques, Value at Risk, was developed specifically to help manage market risk over short periods. Its success led, somewhat controversially, to its take up and extension to credit risk over longer time-scales. This extension, ultimately not successful, led to the collapse of a number of institutions. The present book, by some of the leading figures in risk management, examines the complex issues that concern the stability of the global financial system by presenting a mix of theory and practice. It will be essential reading for all involved in financial risk management. An examination of 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 operational, credit and market risk. Shipping may be from multiple locations in the US or from the UK, depending on stock availability. Seller Inventory # 9780521781800
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Risk Management: Value at Risk and Beyond
Published by
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ISBN 10: 0521781809
ISBN 13: 9780521781800
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