Value at Risk
Theory and Practice
- 1st Edition - February 26, 2003
- Latest edition
- Author: Glyn A. Holton
- Language: English
Value at Risk is the first advanced book published on value-at-risk (VaR). It describes the ways to design, implement, and use scalable production VaR measures on actual trading f… Read more
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Value at Risk is the first advanced book published on value-at-risk (VaR). It describes the ways to design, implement, and use scalable production VaR measures on actual trading floors.
It takes readers from the basics of VaR to the most advanced techniques, many of which have never been published in book form. Practical, detailed examples are drawn from markets around the world, including: Euro deposits, Pacific Basin equities, physical coffees, and North American natural gas. Real-world challenges relating to market data, portfolio mappings, multicollinearity, and intra-horizon events are addressed in detail. Exercises reinforce concepts and walk readers step-by-step through computations. Sophisticated techniques are fully disclosed, including quadratic (delta-gamma) methods for nonlinear portfolios, variance reduction (control variates and stratified sampling) for Monte Carlo VaR measures, principal component remappings, techniques to fix estimated covariance matrices that are not positive-definite, the Cornish-Fisher expansion, and orthogonal GARCH.
This text is ideal for finance professionals around the world, finance professors, and students.
- Edition: 1
- Latest edition
- Published: February 26, 2003
- Language: English
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