MARC Record from Library of Congress

LEADER: 03281nam a2200373 a 4500
001 2009279451
003 DLC
005 20110225165831.0
008 091117s2009 nyua b 001 0 eng d
010 $a 2009279451
020 $a9780071625159 (alk. paper)
020 $a0071625151 (alk. paper)
035 $a(OCoLC)ocn277205997
040 $aBTCTA$cBTCTA$dYDXCP$dBWX$dGSU$dVGM$dPMC$dCDX$dDLC
042 $alccopycat
050 00 $aHG4529$b.V37 2009
245 04 $aThe VaR modeling handbook /$cGreg N. Gregoriou, editor.
246 3 $aValue-at-risk modeling handbook
260 $aNew York :$bMcGraw-Hill,$cc2009.
300 $axxii, 392 p. :$bill. ;$c24 cm.
490 1 $a[McGraw-Hill finance & investing]
500 $aSeries from jacket.
500 $aSubtitle on jacket: Practical applications in alternative investing, banking, insurance, and portfolio management.
504 $aIncludes bibliographical references and index.
505 0 $aAsset 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.
650 0 $aFinancial risk management.
650 0 $aFinancial risk management$xSimulation methods.
650 0 $aAsset-liability management.
650 0 $aAsset-liability management$xSimulation methods.
700 1 $aGregoriou, Greg N.,$d1956-
830 0 $aMcGraw-Hill finance & investing.
856 42 $3Contributor biographical information$uhttp://www.loc.gov/catdir/enhancements/fy1011/2009279451-b.html
856 42 $3Publisher description$uhttp://www.loc.gov/catdir/enhancements/fy1011/2009279451-d.html
856 41 $3Table of contents only$uhttp://www.loc.gov/catdir/enhancements/fy1011/2009279451-t.html