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The VaR modeling handbook / Greg N. Gregoriou, editor.

Contributor(s): Material type: TextTextSeries: McGraw-Hill finance & investingPublication details: New York : McGraw-Hill, c2009.Description: xxii, 392 p. : ill. ; 24 cmISBN:
  • 9780071625159
  • 0071625151 (alk. paper)
Other title:
  • Value-at-risk modeling handbook
Subject(s): LOC classification:
  • HG4529 .V287 2009
Online resources:
Contents:
Asset allocation for hedge fund strategies : how to better manage tail risk / Arjan Berkelaar, Adam Kobor, and Roy Kouwenberg -- Estimating value at risk of institutional portfolios with alternative asset classes / Roy Kouwenberg ... [et al.] -- A comparison between optimal allocations based on the modified VaR and those based on a utility-based risk measure / Laurent Bodson, Alain C�oen, and Georges H�ubner -- Using CVaR to optimize and hedge portfolios / Francesco Menoncin -- Value at risk, capital standards, and risk alignment in banking firms / Guy Ford, Tyrone M. Carlin, and Nigel Finch -- The asset-liability management compound option model : a public debt management tool / Jorge A. Chan-Lau and Andr�e O. Santos -- A practitioner's critique of value-at-risk models / Robert Dubil -- Value at risk for a microcredit loan portfolio : an African microfinance institution case study / Ren�e Azokli, Emmanuel Fragni�ere, and Akimou Oss�e -- Allocation of economic capital in banking : a simulation approach / Hans-Peter Burghof and Jan M�uller -- Using tail conditional expectation for capital requirement calculation of a general insurance undertaking / Jo�ao L.C. Duque, Alfredo D. Eg�idio dos Reis, and Ricardo Garcia -- Economic capital management for insurance companies / Rossella Bisignani, Giovanni Masala, and Marco Micocci -- Solvency II : an important case in applied VaR / Alfredo D. Eg�idio dos Reis, Raquel M. Gaspar, and Ana T. Vicente -- Quantile-based tail risk estimation for equity portfolios / John Cotter and Kevin Dowd -- Optimal mixed-asset portfolios / Juliane Proelss and Denis Schweizer -- Value-at-risk-adjusted performance for structured portfolios / Rosa Cocozza.
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Holdings
Item type Home library Collection Call number Copy number Status Date due Barcode
Open Shelf Books Open Shelf Books Al-Ghazali Library BKS HG4529.V287 2009 (Browse shelf(Opens below)) 1 Available GHAZ13053208

Series from jacket.

Subtitle on jacket: Practical applications in alternative investing, banking, insurance, and portfolio management.

Includes bibliographical references and index.

Asset allocation for hedge fund strategies : how to better manage tail risk / Arjan Berkelaar, Adam Kobor, and Roy Kouwenberg -- Estimating value at risk of institutional portfolios with alternative asset classes / Roy Kouwenberg ... [et al.] -- A comparison between optimal allocations based on the modified VaR and those based on a utility-based risk measure / Laurent Bodson, Alain C�oen, and Georges H�ubner -- Using CVaR to optimize and hedge portfolios / Francesco Menoncin -- Value at risk, capital standards, and risk alignment in banking firms / Guy Ford, Tyrone M. Carlin, and Nigel Finch -- The asset-liability management compound option model : a public debt management tool / Jorge A. Chan-Lau and Andr�e O. Santos -- A practitioner's critique of value-at-risk models / Robert Dubil -- Value at risk for a microcredit loan portfolio : an African microfinance institution case study / Ren�e Azokli, Emmanuel Fragni�ere, and Akimou Oss�e -- Allocation of economic capital in banking : a simulation approach / Hans-Peter Burghof and Jan M�uller -- Using tail conditional expectation for capital requirement calculation of a general insurance undertaking / Jo�ao L.C. Duque, Alfredo D. Eg�idio dos Reis, and Ricardo Garcia -- Economic capital management for insurance companies / Rossella Bisignani, Giovanni Masala, and Marco Micocci -- Solvency II : an important case in applied VaR / Alfredo D. Eg�idio dos Reis, Raquel M. Gaspar, and Ana T. Vicente -- Quantile-based tail risk estimation for equity portfolios / John Cotter and Kevin Dowd -- Optimal mixed-asset portfolios / Juliane Proelss and Denis Schweizer -- Value-at-risk-adjusted performance for structured portfolios / Rosa Cocozza.