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The VAR Implementation Handbook (McGraw-Hill Finance & Investing) 执行力手册

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最低价：￥666.00

定价：￥888.00

作者：Greg N. Gregoriou　著著

出版社：

出版时间：2009-2-1

I S B N：9780071615136

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The VAR Implementation Handbook

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The VAR Implementation Handbook (McGraw-Hill Finance & Investing) 执行力手册

送货上门

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666.00元

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内容简介

Heralded as “the new science of risk management,” 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.

作者简介

EDITOR xv
CONTRIBUTORS xvii
PART ONE　VaR MEASUREMENT
　Chapter 1　Calculating VaR for Hedge Funds
　　Monica Billio, Mila Getmansky,. and Loriana Pelizzon
　　Introduction
　　Hedge Funds
　　Value at Risk
　　Data
　　Results and Discussion
　　Conclusion
　　References
　　Appendix: Strategic Decisions
　Chpter 2
　　Efficient VaR: Using Past Forecast Performance to-
　　Generate Improved VaR Forecasts
　　Kevin Dowd and Carlos Blanco
　　Introduction
　　A Backtesting Framework
　　Using Backrest Results to Recalibrate the Parameters of the VaR Model
　 Some Examples
　 Conclusion
　 References
　 Appendix
……