Mastering value at risk: a step-by-step guide to understanding and applying VaR
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
London [u.a.]
Financial Times Management
1999
|
| Series: | Market editions
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XIII, 241 S. graph. Darst. |
| ISBN: | 0273637525 |
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MARC
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| 245 | 1 | 0 | |a Mastering value at risk |b a step-by-step guide to understanding and applying VaR |c Cormac Butler |
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Record in the Search Index
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| adam_text | CO NTENTS |
foreword X1
Acknowledgments xiii
1 An Outline of Value at Risk i
Introduction 2 ;
What is Value at Risk? 5
Volatility and how to exploit it profitably 6
Correlation its role in risk reduction 16 !
Conclusion
2 Value at Risk as a Tool in Supervisory Regulation 27
Regulation: what it is and why it s necessary 28
Capital adequacy and the Basle Accord what it is trying to
achieve 32 i
Should regulators recognize diversification? 38
Conclusion i
3 Portfolio Risk Measurement 43
A profile of VaR methods 44
How matrices are used to calculate VaR 47
Comparison of the variance covariance approach with other ;
methods, or which VaR method is best? 50
Variance covariance with a three asset portfolio
Constructing the weighting matrix i
Mapping 63
Appendix 3.1
Appendix 3.2
ffnl
Contents
k Fixed Income Products 69
i The range of fixed income products 70
; Interest rate conventions 75
: VaR on forward rate agreements 82
; How swaps work 83
Conclusion 89
5 Measuring the Risk of Complex Derivative Products 91
Interest rate sensitivity 92
Calculating duration and convexity 95
: The unique risk characteristics of convexity 105
: The role of delta gamma in VaR measurement 107
Conclusion 110
Appendix 5.1 112
6 The Greeks 115
; The risk sensitivities of options 116
: Reducing the risk of option portfolios 125
i Exploiting volatility smiles profitably 130
; Conclusion 133
7 Option Strategies 135
; Which option strategies work? 136
Volatility trading: straddles, strangles, butterflies, and
ratio spreads 142
Time spread strategies 148
Conclusion 152
8 Monte Carlo Simulation 155
Monte Carlo simulation and its applications 156
Generating the share prices 158
Applying Monte Carlo simulation to VaR 164
; Conclusion 167
9 Applying VaR Principles to Credit Control 169
Measuring credit risk more accurately 170
Reducing credit risk 178
Using credit derivatives to reduce credit risk 182
Conclusion 188
Contents
10 Estimating Volatility for Profitable Trading and Risk Reduction 189
Volatility and its measures 190
Exponentially weighted moving average (EWMA) ;
vs time series 199 :
GARCH: changing variance and correlation between ;
current and past events 204
Conclusion 207
11 Real Life Application of Hodels 209
Should we rely on VaR? 210
Over the counter options 212 ;
Criticisms of VaR methods 215
Conclusion 219
Appendix 11.1 220
Appendix 11.2 224 ;
References 226
Bibliography 227
Glossary 228
Index 233
m
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| indexdate | 2024-07-09T18:26:00Z |
| institution | BVB |
| isbn | 0273637525 |
| language | English |
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| physical | XIII, 241 S. graph. Darst. |
| publishDate | 1999 |
| publishDateSearch | 1999 |
| publishDateSort | 1999 |
| publisher | Financial Times Management |
| record_format | marc |
| series2 | Market editions |
| spelling | Butler, Cormac Verfasser aut Mastering value at risk a step-by-step guide to understanding and applying VaR Cormac Butler London [u.a.] Financial Times Management 1999 XIII, 241 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Market editions Analyse financière Analyse financière ram Gestion de portefeuille Gestion de portefeuille ram Gestion des actifs et des passifs Gestion des actifs et passifs bancaires ram Gestion du risque Gestion du risque ram Investment analysis Risk management Value at Risk (DE-588)4519495-6 gnd rswk-swf Value at Risk (DE-588)4519495-6 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008373233&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Butler, Cormac Mastering value at risk a step-by-step guide to understanding and applying VaR Analyse financière Analyse financière ram Gestion de portefeuille Gestion de portefeuille ram Gestion des actifs et des passifs Gestion des actifs et passifs bancaires ram Gestion du risque Gestion du risque ram Investment analysis Risk management Value at Risk (DE-588)4519495-6 gnd |
| subject_GND | (DE-588)4519495-6 |
| title | Mastering value at risk a step-by-step guide to understanding and applying VaR |
| title_auth | Mastering value at risk a step-by-step guide to understanding and applying VaR |
| title_exact_search | Mastering value at risk a step-by-step guide to understanding and applying VaR |
| title_full | Mastering value at risk a step-by-step guide to understanding and applying VaR Cormac Butler |
| title_fullStr | Mastering value at risk a step-by-step guide to understanding and applying VaR Cormac Butler |
| title_full_unstemmed | Mastering value at risk a step-by-step guide to understanding and applying VaR Cormac Butler |
| title_short | Mastering value at risk |
| title_sort | mastering value at risk a step by step guide to understanding and applying var |
| title_sub | a step-by-step guide to understanding and applying VaR |
| topic | Analyse financière Analyse financière ram Gestion de portefeuille Gestion de portefeuille ram Gestion des actifs et des passifs Gestion des actifs et passifs bancaires ram Gestion du risque Gestion du risque ram Investment analysis Risk management Value at Risk (DE-588)4519495-6 gnd |
| topic_facet | Analyse financière Gestion de portefeuille Gestion des actifs et des passifs Gestion des actifs et passifs bancaires Gestion du risque Investment analysis Risk management Value at Risk |
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