The VaR implementation handbook [electronic resource] / Greg N. Gregoriou, editor
- 其他作者：
- 出版： New York : McGraw-Hill c2009
- 叢書名： McGraw-Hill finance & investing
- 主題： Financial risk management. , Financial risk management--Simulation methods , Asset-liability management. , Asset-liability management--Simulation methods
- ISBN： 9780071615136 (hbk.) 、 007161513X (hbk.)
- URL：
Click for full text (McGrawHill)
- 一般註：Series from jacket Includes bibliographical references and index
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讀者標籤：
- 系統號： 005158046 | 機讀編目格式
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內容註
Calculating VaR for hedge funds / Monica Billio, Mila Getmansky, and Loriana Pelizzon -- Efficient VaR : using past forecast performance to generate improved VaR forecasts / Kevin Dowd and Carlos Blanco -- Applying VaR to hedge fund trading strategies : limitations and challenges / R. McFall Lamm Jr. -- Cash flow at risk : linking strategy and finance / Ulrich Hommel -- Plausible operational value-at-risk calculations for management decision making / Wilhelm Kross, Ulrich Hommel, and Martin Wiethuechter -- Value-at-risk performance criterion : a performance measure for evaluating value-at-risk models / Zeno Adams and Roland Fs -- Explaining cross-sectional differences in credit default swap spreads : an alternative approach using value at risk / Bastian Breitenfellner and Niklas Wagner -- Some advanced approaches to VaR calculation and measurement / Fran蔞is- 宁ic Racicot and Raymond Th廩ret -- Computational aspects of value at risk / Germ嫕 Navarro and Ignacio Olmeda -- Value-at-risk-based stop-loss trading / Bernd Scherer -- Modeling portfolio risks with time-dependent default rates in venture capital / Andreas Kemmerer, Jan Rietzschel, and Henry Schoenball -- Risk aggregation and computation of total economic capital / Peter Grundke -- Value at risk for high-dimensional portfolios : a dynamic grouped t- copula approach / Dean Fantazzini -- A model to measure portfolio risks in venture capital / Andreas Kemmerer -- Risk measures and their applications in asset management / S. Ilker Birbil ... [et al.] -- Risk evaluation of sectors traded at the ISE with VaR analysis / Mehmet Orhan and G闥han Karaahmet -- Aggregating and combining ratings / Rafael Wei綌ach, Frederik Kramer, and Claudia Lawrenz -- Risk-mananging the uncertainty in VaR model parameters / Jason C. Hsu and Vitali Kalesnik -- Structural credit modeling and its relationship to market value at risk : an Australian sectoral perspective / David E. Allen and Robert Powell -- Model risk in VAR cal