Bubble value at risk : a countercyclical risk management approach /

• Κύριος συγγραφέας: Wong, Max C. Y. (Max Chan Yue) (Συγγραφέας)
• Μορφή: Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Singapore : John Wiley & Sons Singapore Pte. Ltd., [2013]
• Έκδοση: Revised edition.
• Σειρά: Wiley finance series.
• Θέματα: Risk management > Mathematical models.; Risk assessment > Mathematical models.; Financial risk management > Mathematical models.; Asset-liability management > Mathematical models.; BUSINESS & ECONOMICS > Insurance > Risk Assessment & Management.; Financial risk management.; Electronic books.

 Introduces a powerful new approach to financial risk modeling with proven strategies for its real-world applications The 2008 credit crisis did much to debunk the much touted powers of Value at Risk (VaR) as a risk metric. Unlike most authors on VaR who focus on what it can do, in this book the author looks at what it cannot. In clear, accessible prose, finance practitioners, Max Wong, describes the VaR measure and what it was meant to do, then explores its various failures in the real world of crisis risk management. More importantly, he lays out a revolutionary new method of measuri. 

 Bubble Value at Risk: A Countercyclical Risk Management Approach; Copyright; Contents; About the Author; Foreword; Preface; Audience; Overview of the Contents; Additional Materials; Acknowledgments; Part One: Background; Chapter 1: Introduction; 1.1: The Evolution of Riskometer; 1.2: Taleb's Extremistan; 1.3: The Turner Procyclicality; 1.4: The Common Sense of Bubble Value-at-Risk (BuVaR); Notes; Chapter 2: Essential Mathematics; 2.1: Frequentist Statistics; 2.2: Just Assumptions; i.i.d. and Stationarity; Law of Large Numbers; The Quest for Invariance; PDF and CDF; Normal Distribution.