Fr. 79.00

Evaluation of Value at Risk Models - The new science of Market Risk Management

English, German · Paperback / Softback

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Description

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This book gives an overview of evaluation of the most widespread Value at Risk (VaR)Models in use in most of risk management departments across the financial industry.Value at Risk (VaR) has become the standard measure that financial analysts use to quantify market risk. VaR is defined as the maximum potential change in value of a portfolio of financial instruments with a given probability over a certain horizon. VaR measures can have many applications, such as in risk management, to evaluate the performance of risk takers and for regulatory requirements, and hence it is very important to develop methodologies that provide accurate estimates.The main objective of this book is to survey the most popular univariate VaR methodologies, paying particular attention to their underlying assumptions. The great popularity that this instrument has achieved is essentially due to its conceptual simplicity: VaR reduces the (market) risk associated with any portfolio to just one number, the loss associated to a given probability. VaR can also be applied to governance of endowments, trusts, and pension plans. Essentially trustees adopt portfolio VaR metrics for the entire pooled account.

About the author










Dr. P.A. Naidu currently working as Asst. Professor at Adi Kavi Nannaya University, Andhra Pradesh in India. He Specialized in Financial Economics,Econometrics and quantitative Economics. He got ICSSR salary protected Fellowship during his Ph.D programme. He has 8 years of experience in research and teaching from various Research Organizations.

Product details

Authors P A Naidu, P. A. Naidu, P.A. Naidu
Publisher LAP Lambert Academic Publishing
 
Languages English, German
Product format Paperback / Softback
Released 01.01.2013
 
EAN 9783659483769
ISBN 978-3-659-48376-9
No. of pages 140
Dimensions 150 mm x 220 mm x 7 mm
Weight 203 g
Subject Guides > Law, job, finance > Money, bank, stock market

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