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Sinopsis
Beyond Value at Risk The New Science of Risk Management A Comprehensive Guide to Value at Risk and Risk Management Risk management and measurement are now, without doubt, the hottest topics in the finance world. Today, quantifying risk management is not only a management tool - but is also used by regulators for banks and finance houses. Beyond Value at Risk provides a comprehensive guide to recent developments and existing approaches to VaR and risk management, going beyond traditional approaches to the subject and offering a new, far-reaching perspective on investment, hedging and portfolio decision-making. The key to this distinctive approach is a new decision rule - the 'Generalised Sharpe Rule', and its practical applications. Beyond Value at Risk provides the answers to key questions, including: How to implement VaR and related systems in the real world How to make vital investment decisions and estimate their effect How to make hedging decisions How to manage a portfolio It offers financial professionals, academics and students comprehensive coverage of VaR both in theory and practice.
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Acerca del autor
About the Author Kevin Dowd is Professor and Head of Economics at the University of Sheffield, England, and is an Adjunct Scholar at the Cato Institute, Washington DC. Prior to this he was Professor of Financial Economics at Sheffield Hallam University and Reader in Monetary Economics at the University of Nottingham. His previous works include Competition and Finance: A Reinterpretation of Financial and Monetary Economics (1996), and Laissez-Faire Banking (1993). He also edited The Experience of Free Banking (1992).
De la contraportada
Finance/Investment Beyond Value at Risk The New Science of Risk Management A Comprehensive Guide to Value at Risk and Risk Management Risk management and measurement are now, without doubt, the hottest topics in the finance world. Today, quantifying risk management is not only a management tool - but is also used by regulators for banks and finance houses. Beyond Value at Risk provides a comprehensive guide to recent developments and existing approaches to VaR and risk management, going beyond traditional approaches to the subject and offering a new, far-reaching perspective on investment, hedging and portfolio decision-making. The key to this distinctive approach is a new decision rule - the 'Generalised Sharpe Rule', and its practical applications. Beyond Value at Risk provides the answers to key questions, including:
* How to implement VaR and related systems in the real world
* How to make vital investment decisions and estimate their effect
* How to make hedging decisions
* How to manage a portfolio
It offers financial professionals, academics and students comprehensive coverage of VaR both in theory and practice.
De la solapa interior
Beyond Value at Risk The New Science of Risk Management Kevin Dowd Today's financial markets are experiencing a Value at Risk revolution, with risk management and measurement now the most important issues facing international finance houses. Not only are they desperate to avoid the fate of Orange County and Barings, they must also contend with fierce competition and market regulators who scrutinise their every move. VaR theory and practice is therefore developing very rapidly. Beginning with a background to VaR in the context of recent developments in risk management, Kevin Dowd gives thorough descriptions of the various existing approaches to VaR - the variance-covariance, historical simulation, Monte Carlo and related simulation approaches, including a section on stress testing. These approaches, along with the innovative new rule described by the author, 'the Generalised Sharpe Rule', are discussed in conjunction with other factors, such as credit liquidity and operational and legal risks, giving a unique, integrated approach to enterprise-wide risk management.
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BEYOND VALUE AT RISK. THE NEW SCIENCE OF RISK MANAGEMENT
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Beyond Value at Risk : The New Science of Risk Management
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Beyond Value at Risk : The New Science of Risk Management
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ISBN 13: 9780471976219
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