An edition of The VaR modeling handbook (2009)

The VaR modeling handbook

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The VaR modeling handbook
Greg N. Gregoriou, Greg N. Gre ...
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Last edited by ImportBot
October 28, 2022 | History
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An edition of The VaR modeling handbook (2009)

The VaR modeling handbook

by

  • 2 Want to read

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Publish Date
Publisher
McGraw-Hill
Language
English
Pages
392

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Subjects

Simulation methods, Financial risk management, Asset-liability management
Edition Availability
Cover of: The VaR modeling handbook
The VaR modeling handbook
2009, McGraw-Hill
in English

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Book Details

Table of Contents

Asset allocation for hedge fund strategies : how to better manage tail risk / Arjan Berkelaar, Adam Kobor, and Roy Kouwenberg
Estimating value at risk of institutional portfolios with alternative asset classes / Roy Kouwenberg ... [et al.]
A comparison between optimal allocations based on the modified VaR and those based on a utility-based risk measure / Laurent Bodson, Alain Cöen, and Georges Hübner
Using CVaR to optimize and hedge portfolios / Francesco Menoncin
Value at risk, capital standards, and risk alignment in banking firms / Guy Ford, Tyrone M. Carlin, and Nigel Finch
The asset-liability management compound option model : a public debt management tool / Jorge A. Chan-Lau and André O. Santos
A practitioner's critique of value-at-risk models / Robert Dubil
Value at risk for a microcredit loan portfolio : an African microfinance institution case study / René Azokli, Emmanuel Fragnière, and Akimou Ossé
Allocation of economic capital in banking : a simulation approach / Hans-Peter Burghof and Jan Müller
Using tail conditional expectation for capital requirement calculation of a general insurance undertaking / João L.C. Duque, Alfredo D. Egídio dos Reis, and Ricardo Garcia
Economic capital management for insurance companies / Rossella Bisignani, Giovanni Masala, and Marco Micocci
Solvency II : an important case in applied VaR / Alfredo D. Egídio dos Reis, Raquel M. Gaspar, and Ana T. Vicente
Quantile-based tail risk estimation for equity portfolios / John Cotter and Kevin Dowd
Optimal mixed-asset portfolios / Juliane Proelss and Denis Schweizer
Value-at-risk-adjusted performance for structured portfolios / Rosa Cocozza.

Edition Notes

Series from jacket.

Subtitle on jacket: Practical applications in alternative investing, banking, insurance, and portfolio management.

Includes bibliographical references and index.

Published in
New York
Series
[McGraw-Hill finance & investing], McGraw-Hill finance & investing
Other Titles
Value-at-risk modeling handbook

Classifications

Library of Congress
HG4529 .V37 2009,

The Physical Object

Pagination
xxii, 392 p. :
Number of pages
392

ID Numbers

Open Library
OL24802640M
ISBN 10
0071625151
ISBN 13
9780071625159
LCCN
2009279451
OCLC/WorldCat
277205997

Source records

Library of Congress MARC record
Better World Books record
Library of Congress MARC record
amazon.com record

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History

Download catalog record: RDF / JSON / OPDS | Wikipedia citation
October 28, 2022 Edited by ImportBot import existing book
December 23, 2020 Edited by MARC Bot import existing book
October 9, 2020 Edited by ImportBot import existing book
August 2, 2020 Edited by ImportBot import existing book
July 22, 2011 Created by LC Bot Imported from Library of Congress MARC record