TY  - BOOK
AU  - Gregoriou,Greg N.
TI  - The VaR modeling handbook
T2  - [McGraw-Hill finance & investing]
SN  - 9780071625159
AV  - HG4529 .V287 2009
PY  - 2009///
CY  - New York
PB  - McGraw-Hill
KW  - Financial risk management
KW  - Simulation methods
KW  - Asset-liability management
N1  - 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
UR  - http://www.loc.gov/catdir/enhancements/fy1011/2009279451-b.html
UR  - http://www.loc.gov/catdir/enhancements/fy1011/2009279451-d.html
UR  - http://www.loc.gov/catdir/enhancements/fy1011/2009279451-t.html
ER  -