The VAR Implementation Handbook

The VAR Implementation Handbook

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[flap] 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, a€œWhat is my worst-case scenario?a€ and a€œHow much could I lose in a really bad month?a€ 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 a€œthe new science of risk management, a€ 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.v volatility of the observed data either using a UHF-GARCH one-step ahead forecast or a one-step ahead realized volatility forecast has to be estimated. Then , we use these ... 1 11 Iƒ Iƒ/ n v i aˆ’ 1 This formula used with available UHF data should generate better estimates for VaR. In this formula, Iƒn1 ... Excel and MATLAB.


Title:The VAR Implementation Handbook
Author: Greg N. Gregoriou
Publisher:McGraw Hill Professional - 2009-03-15
ISBN-13:

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