Bubble value at risk: extremistan and procyclicality
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| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
[Singapore]
Max Wong Chan Yue
2011
|
| Edition: | 1. ed. |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XIV, 334 S. graph. Darst. |
| ISBN: | 9789810872762 |
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MARC
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Record in the Search Index
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|---|---|
| adam_text | Titel: Bubble value at risk
Autor: Wong, Max C. Y.
Jahr: 2011
Contents
Preface xiii
Part I Background
1. Introduction
1.1 The evolution of riskometer 4
1.2 Taleb s extremistan 6
1.3 The Turner procyclicality 7
1.4 The commonsense of bubble value-at-risk (buVaR) 8
2. Essential mathematics
2.1 Frequentist statistics 17
2.2 Just assumptions 21
2.3 Quantiles, VaR and tails 28
2.4 Correlation and autocorrelation 31
2.5 Regression models and residual errors 37
2.6 Significance tests 40
2.7 Measuring volatility 43
2.8 Markowitz portfolio theory 48
2.9 Maximum likelihood method 51
2.10 Cointegration 52
2.11 Monte Carlo method 55
2.12 The Classical decomposition 58
2.13 Quantile regression model 62
2.14 Spreadsheet 65
Part II Value-at-Risk Methodology
3. Preprocessing
3.1 System architecture 71
3.2 Risk factor mapping 74
3.3 Risk factor proxies 79
3.4 Scenario generation 81
3.5 Basic VaR specification 83
4. Conventional VaR methods
4.1 Parametric VaR 88
4.2 Monte Carlo VaR 94
4.3 Historical simulation VaR 98
4.4 Issue: Convexity, optionality and fat tails 101
4.5 Issue: Hidden correlation 107
4.6 Issue: Missing basis and beta approach 109
4.7 Issue: The real risk of premiums 111
4.8 Spreadsheet 113
5. Advanced VaR methods
5.1 Hybrid historical simulation VaR 115
5.2 Hull-White volatility updating VaR 117
5.3 Conditional autoregressive VaR (CaViaR) 118
5.4 Extreme value theory VaR 121
5.5 Spreadsheet 127
6. VaR reporting
6.1 VaR aggregation and Limits 129
6.2 Diversification 131
6.3 VaR analytical tools 132
6.4 Scaling and Basel Rules 136
6.5 Spreadsheet 140
7. The physics of risk and pseudoscience
7.1 Entropy, leverage effect and skewness 143
7.2 Volatility clustering and the folly of i.i.d. 149
7.3 Volatility of volatility and fat-tails 149
7.4 Extremistan and the fourth quadrant 153
7.5 Regime change, lagging riskometer and procyclicality 156
7.6 Coherence and expected shortfall 159
7.7 Spreadsheet 161
8. Model testing
8.1 Precision test 163
8.2 Frequency back test 165
8.3 Bunching test 167
8.4 Spreadsheet 169
9. Practical limitations of VaR
9.1 Depegs and changes to Rules of the game 171
9.2 Data integrity problems 173
9.3 Model risk 174
9.4 Politics and gaming 176
10. Other major risk classes
10.1 Credit risks (and CreditmetricsO) 179
10.2 Liquidity risk 184
10.3 Operational risk 189
10.4 The problem of aggregation 194
10.5 Spreadsheet 197
Part III The Great Regulatory Reform
11. Regulatory capital reform
11.1 Basel I and Basel II 201
11.2 The Turner Review 205
11.3 Revisions to Basel II market risk framework 208
11.4 New liquidity framework 212
11.5 The new Basel III 213
11.6 The ideal capital regime 215
12. Systemic risk initiatives
12.1 Soros reflexivity, endogenous risks 219
12.2 Crashmetrics© 224
12.3 New York Fed Co VaR 229
12.4 The Austrian model and BOE RAMSI 232
12.5 The global systemic risk regulator 238
12.6 Spreadsheet 240
Part IV Introduction to Bubble Value-at-Risk (BuVaR)
13. Market BuVaR
13.1 Why an alternative to VaR 243
13.2 Classical decomposition, new interpretation 245
13.3 Measuring the bubble 248
13.4 Calibration 252
13.5 Implementing the inflator 255
13.6 Choosing the best tail risk measure 257
13.7 Effect on joint distribution 261
13.8 The scope of Bu VaR 262
13.9 How good is the Bu VaR buffer? 263
13.10 The brave new world 266
13.11 Spreadsheet 269
14. Credit BuVaR
14.1 The credit bubble VaR idea 271
14.2 Model formulation 274
14.3 Behavior of response function 277
14.4 Characteristics of credit BuVaR 279
14.5 Interpretation of credit BuVaR 281
14.6 Spreadsheet 282
15. Acceptance tests
15.1 BuVaR visual checks 283
15.2 BuVaR event timing tests 297
15.3 BuVaR cyclicality tests 303
15.4 Credit buVaR parameter tuning 304
16. Other topics
16.1 Diversification and basis risks 311
16.2 Regulatory reform and buVaR 313
16.3 BuVaR and the banking book. Response time as risk 315
16.4 Can buVaR pick tops and bottoms perfectly? 317
16.5 Post-modem risk management 317
16.6 Spreadsheet 318
17. Epilogue: Suggestions for future research 319
References 321
Index 327
|
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| illustrated | Illustrated |
| indexdate | 2024-07-10T00:09:04Z |
| institution | BVB |
| isbn | 9789810872762 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-024539856 |
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| physical | XIV, 334 S. graph. Darst. |
| publishDate | 2011 |
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| publisher | Max Wong Chan Yue |
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| spelling | Wong, Max C. Y. Verfasser aut Bubble value at risk extremistan and procyclicality Max C. Y. Wong 1. ed. [Singapore] Max Wong Chan Yue 2011 XIV, 334 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Finanzkrise (DE-588)7635855-0 gnd rswk-swf Risikotheorie (DE-588)4135592-1 gnd rswk-swf Risikotheorie (DE-588)4135592-1 s Finanzkrise (DE-588)7635855-0 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024539856&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Wong, Max C. Y. Bubble value at risk extremistan and procyclicality Finanzkrise (DE-588)7635855-0 gnd Risikotheorie (DE-588)4135592-1 gnd |
| subject_GND | (DE-588)7635855-0 (DE-588)4135592-1 |
| title | Bubble value at risk extremistan and procyclicality |
| title_auth | Bubble value at risk extremistan and procyclicality |
| title_exact_search | Bubble value at risk extremistan and procyclicality |
| title_full | Bubble value at risk extremistan and procyclicality Max C. Y. Wong |
| title_fullStr | Bubble value at risk extremistan and procyclicality Max C. Y. Wong |
| title_full_unstemmed | Bubble value at risk extremistan and procyclicality Max C. Y. Wong |
| title_short | Bubble value at risk |
| title_sort | bubble value at risk extremistan and procyclicality |
| title_sub | extremistan and procyclicality |
| topic | Finanzkrise (DE-588)7635855-0 gnd Risikotheorie (DE-588)4135592-1 gnd |
| topic_facet | Finanzkrise Risikotheorie |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024539856&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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