The VaR implementation handbook

XXX, 528 S.

graph. Darst.

Enth. 23 Beitr. - Literaturangaben

Calculating VaR for hedge funds / Monica Billio, Mila Getmansky, and Loriana Pelizzon -- Efficient VaR : using past forecast performance to generate improved VaR forecasts / Kevin Dowd and Carlos Blanco -- Applying VaR to hedge fund trading strategies : limitations and challenges / R. McFall Lamm Jr. -- Cash flow at risk : linking strategy and finance / Ulrich Hommel -- Plausible operational value-at-risk calculations for management decision making / Wilhelm Kross, Ulrich Hommel, and Martin Wiethuechter -- Value-at-risk performance criterion : a performance measure for evaluating value-at-risk models / Zeno Adams and Roland Füss -- Explaining cross-sectional differences in credit default swap spreads : an alternative approach using value at risk / Bastian Breitenfellner and Niklas Wagner -- Some advanced approaches to VaR calculation and measurement / François-Éric Racicot and Raymond Théoret -- Computational aspects of value at risk / Germán Navarro and Ignacio Olmeda -- Value-at-risk-based stop-loss trading / Bernd Scherer -- Modeling portfolio risks with time-dependent default rates in venture capital / Andreas Kemmerer, Jan Rietzschel, and Henry Schoenball -- Risk aggregation and computation of total economic capital / Peter Grundke -- Value at risk for high-dimensional portfolios : a dynamic grouped t-copula approach / Dean Fantazzini -- A model to measure portfolio risks in venture capital / Andreas Kemmerer -- Risk measures and their applications in asset management / S. Ilker Birbil ... [et al.] -- Risk evaluation of sectors traded at the ISE with VaR analysis / Mehmet Orhan and Gökhan Karaahmet -- Aggregating and combining ratings / Rafael Wei€bach, Frederik Kramer, and Claudia Lawrenz -- Risk-mananging the uncertainty in VaR model parameters / Jason C. Hsu and Vitali Kalesnik -- Structural credit modeling and its relationship to market value at risk : an Australian sectoral perspective / David E. Allen and Robert Powell -- Model risk in VAR calculations / Peter Schaller -- Option pricing with constant and time-varying volatility / Willi Semmler and Karim M. Youssef -- Value at risk under heterogeneous investment horizons and spatial relations / Viviana Fernandez -- How investors face financial risk loss aversion and wealth allocation with two-dimensional individual utility : a VaR application / Erick W. Rengifo and Emanuela Trifan.

ECONIS - Online Catalogue of the ZBW