LEADER 04595nam 2200685Ia 450 001 9910134834503321 005 20221206184954.0 010 $a1-280-27203-1 010 $a9786610272037 010 $a0-470-66804-0 010 $a0-470-86596-2 010 $a0-470-01330-3 035 $a(CKB)111004366693074 035 $a(EBL)220519 035 $a(OCoLC)475926044 035 $a(SSID)ssj0000177235 035 $a(PQKBManifestationID)11171540 035 $a(PQKBTitleCode)TC0000177235 035 $a(PQKBWorkID)10230781 035 $a(PQKB)11118770 035 $a(MiAaPQ)EBC220519 035 $a(PPN)073253405 035 $a(EXLCZ)99111004366693074 100 $a19980331d1998 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aImplementing value at risk$b[electronic resource] /$fPhilip Best 210 $aChichester, West Sussex, England ;$aNew York, NY, USA $cJ. Wiley & Sons$dc1998 215 $a1 online resource (224 p.) 225 1 $a[Financial engineering] 300 $aDescription based upon print version of record. 311 $a0-585-22485-4 311 $a0-471-97205-3 320 $aIncludes bibliographical references (p. [199]-200) and index. 327 $aContents; Preface; Acknowledgements; 1 Defining risk and VAR; Introduction; What is risk management?; Defining risk; Traditional measurement of market risk; Value at risk - a definition; Stress testing; An assessment of VAR; Notes; 2 Covariance; Introduction; Covariance for a single position; The holding period; Liquidity and VAR; VAR for a portfolio; Extending covariance to cope with options; Summary; Notes; Appendix: Matrix multiplication; 3 Calculating VAR using simulation; Introduction; Historical simulation; Monte Carlo simulation; Summary; Notes; Appendix; Note 327 $a4 Measurement of volatility and correlationIntroduction; Non-normality; Measuring volatility; Measuring correlation; Measuring 'significance' and associated issues; Can your VAR model be relied on?; An empirical analysis of VAR model accuracy; Conclusion; Notes; 5 Implementing value at risk; Introduction; Implementing VAR - the decision process; Identifying risk factors; Interest rate assets; Interest rate instrument treatment; Foreign exchange; Commodities; Equities; Summary; Notes; 6 Stress testing; Introduction; Scenario analysis 327 $aStressing VAR - covariance and Monte Carlo simulation methodsThe problem with scenario analysis; Systematic stress testing; Conclusion; Notes; 7 Managing risk with VAR; Introduction; Establishing a risk management framework; VAR limits; Stress test limits; Summary; 8 Risk adjusted performance measurement; Introduction; Defining capital; Shareholder value analysis - a strategic decision making tool; Determining the required return on capital; Earnings volatility-based performance measures; Return on capital - VAR-based approach; Capital allocation 327 $aRewarding traders on risk adjusted performanceSummary; Notes; 9 Regulators and risk management; Introduction; Regulatory objectives; Rating agencies; Recent regulatory history; European Capital Adequacy Directive; Which BSC regime should I use?; Conclusion; Note; 10 Introduction to the spreadsheets; References and further reading; Index; A; B; C; D; E; F; G; H; I; J; K; L; M; N; O; P; Q; R; S; T; U; V; W; Y; Z 330 $aImplementing Value at Risk Philip Best Value at Risk (VAR) is an estimate of the potential loss on a trading or investment portfolio. Its use has swept the banking world and is now accepted as an essential tool in any risk manager's briefcase. Perhaps the greatest strength of VAR is that it can cope with virtually all financial products, from simple securities through to complex exotic derivatives. This allows the risk taken, across diverse trading activities, to be compared. This said, VAR is no panacea. It is as critical to understand when the use of VAR is inappropriate as it is to understa 410 0$aWiley series in financial engineering. 606 $aAsset-liability management 606 $aBank investments 610 $aValue at risk 615 0$aAsset-liability management. 615 0$aBank investments. 676 $a332.1 676 $a332.1/754/0681 676 $a332.17540681 676 $a658.152 700 $aBest$b Philip$0614405 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910134834503321 996 $aImplementing value at risk$91130970 997 $aUNINA