The VAR Implementation Handbook (McGraw-Hill Finance & Investing) 执行力手册 pdf 在线 2025 epub 免费 书籍 下载

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.

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

……

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书籍介绍

[flap] For investors, risk is about the odds of losing money, and Value at Risk (VaR) is grounded in that common-sense fact. VAR modeling answers, “What is my worst-case scenario?” and “How much could I lose in a really bad month?” However, there has not been an effective guidebook available to help investors and financial managers make their own VaR calculations--until now. The VaR Implementation Handbook is a hands-on road map for professionals who have a solid background in VaR but need the critical strategies, models, and insights to apply their knowledge in the real world. 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. This complete guide thoroughly covers the three major areas of VaR implementation--measuring, modeling risk, and managing--in three convenient sections. Savvy professionals will keep this handbook at their fingertips for its: Reliable advice from 40 recognized experts working in universities and financial institutions around the world Effective methods and measures to ensure that implemented VaR models maintain optimal performance Up-to-date coverage on newly exposed areas of volatility, including derivatives Real-world prosperity requires making informed financial decisions. The VaR Implementation Handbook is a step-by-step playbook to getting the most out of VaR modeling so you can successfully manage financial risk.