The range of topics in this well-researched and well-written book include optimizing value-at-risk
and daily capital charges, managing value at risk under the Basel II Accord, sovereign insolvency procedures, collective action clauses in international sovereign bond contracts, a review of empirical studies on collateral and credit rationing, and capital requirements, business cycle fluctuations, and the Basel Accords.
After introducing Value-at-Risk
and briefly reviewing the related literature, VaR is examined in the context of a corporate purchasing department of a commodity end user.
Third, these value-at-risk
measures for different domains can be combined to measure the value at risk for the firm as a whole.
Tracking the evolution of risk management, significant improvements have developed in quantitative techniques, such as Value-at-Risk
The Cost of Conservatism: Extreme Value Returns, Value-at-Risk
, and the Basle `Multiplication Factor.
The capital requirements for general market risk are based on the output of a bank's internal value-at-risk
model, calibrated to a common supervisory standard.
Written by leading market risk academic, Professor Carol Alexander, Value-at-Risk
Models forms part four of the Market Risk Analysis four volume set.
models aggregate the several components of price risk into a single quantitative measure of the potential for losses over a specified time horizon.
It will present the fundamentals of quantitative risk measures by analysing the range of Value-at-Risk
(VaR) models used today, addressing the robustness of each model, and looking at new risk measures available to more effectively manage risk in a hedge fund portfolio.
com/reports/c68647) has announced the addition of The Value-at-Risk
Reference - Key Issues in the Implementation of Market Risk to their offering.
It also plans to use KVAR to calculate and report cross asset class value-at-risk
(VAR) on their positions held in the Kondor+ system.
The iGAP strategy is employed using a well diversified and disciplined value-at-risk
modeling approach, and more importantly, has successfully generated positive return (alpha) in each of the last 6 calendar years," added Axtell.