Measuring market risk with value at risk
著者
書誌事項
Measuring market risk with value at risk
（Wiley series in financial engineering）
John Wiley, c2001
- : cloth : alk. paper
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注記
Includes index
内容説明・目次
内容説明
"This book, "Measuring Market Risk with Value at Risk" by Vipul Bansal and Pietro Penza, has three advantages over earlier works on the subject. First, it takes a decidedly global approach - an essential ingredient for any comprehensive work on market risk. Second, it ties the scientifically grounded, yet intuitively appealing, VaR measure to earlier, more idiosyncratic measures of market risk that are used in specific market environs (e.g., duration in fixed income). Finally, it encompasses all of the accepted approaches to calculating a VaR measure and presents them in a clearly explained fashion with supporting illustrations and completely worked-out examples." - from the Foreword by John F. Marshall, PhD, Principal, Marshall, Tucker & Associates, LLC. "Measuring Market Risk with Value at Risk" offers a much-needed intellectual bridge, a translation from the esoteric realm of mathematical finance to the domain of financial managers who seek guidance in applying developments from this important field of research as well as that of MBA-level graduate instruction.
I believe the authors have done a commendable job of providing a carefully crafted, highly readable, and most useful work, and intend to recommend it to all those involved in business risk management applications." - Anthony F. Herbst, PhD, Professor of Finance and C.R. and D.S. Carter Chair, The University of Texas, El Paso and Founding editor of "The Journal of Financial Engineering" (1991-1998). "Finally there's a book that strikes a balance between rigor and application in the area of risk management in the banking industry. This innovative book is a must for both novices and professionals alike." - Robert P. Yuyuenyongwatana, PhD, Associate Professor of Finance, Cameron University. ""Measuring Market Risk with Value at Risk" is one of the most complete discussions of this emerging topic in finance that I have seen. The authors develop a logical and rigorous framework for using VaR models, providing both historical references and analytical applications." - Kevin Wynne, PhD, Associate Professor of Finance, Lubin School of Business, Pace University.
目次
Global Banking Industry. Risk Management Approaches in BankingActivity. Financial Risk Management and Regulations. A Simple Introduction to Value at Risk. Measuring Prices and Returns. Statistics for Prices and Returns. Estimating and Forecasting Volatility. The Distribution of Returns. Fractal Distributions and Applications to VaR. Fixed--Income Mapping. Equity Pricing. Derivative Pricing. Calculating VaR: An Overview. Parametric Normal Models. Historical Simulation Models. Monte Carlo Simulation Methods. Final Remarks: Limits of VaR. Index.
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