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Beyond Value at Risk: The New Science of Risk Management

ISBN: 978-0-471-97622-6
Paperback
286 pages
May 1999
List Price: US $114.00
Government Price: US $72.95
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Beyond Value at Risk: The New Science of Risk Management (0471976229) cover image
This is a Print-on-Demand title. It will be printed specifically to fill your order. Please allow an additional 10-15 days delivery time. The book is not returnable.

INTRODUCTION TO VAR.

The Risk Management Revolution.

VaR Basics.

DIFFERENT APPROACHES TO MEASURING VAR.

The Variance-Covariance Approach.

The Historical Simulation Approach.

Monte Carlo Simulation and Related Approaches.

Stress Testing.

RISK MANAGEMENT.

Risk-Adjusting Returns and Evaluating Performance.

Decision Making.

Credit Risk.

Liquidity, Operational and Legal Risks.

Allocating Capital.

Firm-Wide Risk Management.

Glossary of Main Terms.

Bibliography.

Indexes.
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