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"The VaR implementation handbook" was published by McGraw-Hill in 2009 - New York, it has 528 pages and the language of the book is English.


“The VaR implementation handbook” Metadata:

  • Title: ➤  The VaR implementation handbook
  • Author:
  • Language: English
  • Number of Pages: 528
  • Publisher: McGraw-Hill
  • Publish Date:
  • Publish Location: New York

“The VaR implementation handbook” Subjects and Themes:

Edition Specifications:

  • Pagination: xxx, 528 p. :

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"The VaR implementation handbook" Table Of Contents:

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

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