Book description
Written by leading market risk academic, Professor Carol Alexander, ValueatRisk Models forms part four of the Market Risk Analysis four volume set. Building on the three previous volumes this book provides by far the most comprehensive, rigorous and detailed treatment of market VaR models. It rests on the basic knowledge of financial mathematics and statistics gained from Volume I, of factor models, principal component analysis, statistical models of volatility and correlation and copulas from Volume II and, from Volume III, knowledge of pricing and hedging financial instruments and of mapping portfolios of similar instruments to risk factors. A unifying characteristic of the series is the pedagogical approach to practical examples that are relevant to market risk analysis in practice.
All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CDROM . Empirical examples and case studies specific to this volume include:
Parametric linear value at risk (VaR)models: normal, Student t and normal mixture and their expected tail loss (ETL);
New formulae for VaR based on autocorrelated returns;
Historical simulation VaR models: how to scale historical VaR and volatility adjusted historical VaR;
Monte Carlo simulation VaR models based on multivariate normal and Student t distributions, and based on copulas;
Examples and case studies of numerous applications to interest rate sensitive, equity, commodity and international portfolios;
Decomposition of systematic VaR of large portfolios into standard alone and marginal VaR components;
Backtesting and the assessment of risk model risk;
Hypothetical factor push and historical stress tests, and stress testing based on VaR and ETL.
"The ebook version does not provide access to the companion files".
Table of contents
 Cover Page
 Title Page
 Copyright
 Dedication
 Contents
 List of Figures
 List of Tables
 List of Examples
 Foreword
 Preface to Volume IV

IV.1: Value at Risk and Other Risk Metrics
 IV.1.1 INTRODUCTION
 IV.1.2 AN OVERVIEW OF MARKET RISK ASSESSMENT
 IV.1.3 DOWNSIDE AND QUANTILE RISK METRICS
 IV.1.4 DEFINING VALUE AT RISK
 IV.1.5 FOUNDATIONS OF VALUEATRISK MEASUREMENT
 IV.1.6 RISK FACTOR VALUE AT RISK
 IV.1.7 DECOMPOSITION OF VALUE AT RISK
 IV.1.8 RISK METRICS ASSOCIATED WITH VALUE AT RISK
 IV.1.9 INTRODUCTION TO VALUEATRISK MODELS
 IV.1.10 SUMMARY AND CONCLUSIONS

IV.2: Parametric Linear VaR Models
 IV.2.1 INTRODUCTION
 IV.2.2 FOUNDATIONS OF NORMAL LINEAR VALUE AT RISK
 IV.2.3 NORMAL LINEAR VALUE AT RISK FOR CASHFLOW MAPS
 IV.2.4 CASE STUDY: PC VALUE AT RISK OF A UK FIXED INCOME PORTFOLIO
 IV.2.5 NORMAL LINEAR VALUE AT RISK FOR STOCK PORTFOLIOS
 IV.2.6 SYSTEMATIC VALUEATRISK DECOMPOSITION FOR STOCK PORTFOLIOS
 IV.2.7 CASE STUDY: NORMAL LINEAR VALUE AT RISK FOR COMMODITY FUTURES
 IV.2.8 STUDENT t DISTRIBUTED LINEAR VALUE AT RISK
 IV.2.9 LINEAR VALUE AT RISK WITH MIXTURE DISTRIBUTIONS
 IV.2.10 EXPONENTIAL WEIGHTING WITH PARAMETRIC LINEAR VALUE AT RISK
 IV.2.11 EXPECTED TAIL LOSS (CONDITIONAL VAR)
 IV.2.12 CASE STUDY: CREDIT SPREAD PARAMETRIC LINEAR VALUE AT RISK AND ETL
 IV.2.13 SUMMARY AND CONCLUSIONS

IV.3: Historical Simulation
 IV.3.1 INTRODUCTION
 IV.3.2 PROPERTIES OF HISTORICAL VALUE AT RISK
 IV.3.3 IMPROVING THE ACCURACY OF HISTORICAL VALUE AT RISK
 IV.3.4 PRECISION OF HISTORICAL VALUE AT RISK AT EXTREME QUANTILES
 IV.3.5 HISTORICAL VALUE AT RISK FOR LINEAR PORTFOLIOS
 IV.3.6 ESTIMATING EXPECTED TAIL LOSS IN THE HISTORICAL VALUEATRISK MODEL
 IV.3.7 SUMMARY AND CONCLUSIONS
 IV.4: Monte Carlo VaR
 IV.5: Value at Risk for Option Portfolios
 IV.6: Risk Model Risk
 IV.7: Scenario Analysis and Stress Testing
 IV.8: Capital Allocation
 References
 Index
Product information
 Title: Market Risk Analysis Volume IV: ValueatRisk Models
 Author(s):
 Release date: March 2009
 Publisher(s): Wiley
 ISBN: 9780470997888
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