Market Risk Analysis Volume IV: Value-at-Risk Models

List of Examples

IV.1.1	Semi-standard deviation and second order LPM
IV.1.2	LPM risk metrics
IV.1.3	Probability of underperforming a benchmark
IV.1.4	VaR with normally distributed returns
IV.1.5	Scaling normal VaR with independent and with autocorrelated returns
IV.1.6	Adjusting VaR for non-zero expected excess returns
IV.1.7	Equity VaR
IV.1.8	Normal VaR of a simple cash flow
IV.1.9	Benchmark VaR with normally distributed returns
IV.1.10	Comparison of different VaR metrics
IV.1.11	Non-sub-additivity of VaR
IV.2.1	Adjusting normal linear VaR for autocorrelation
IV.2.2	Converting a covariance matrix to basis points
IV.2.3	Normal linear VaR from a mapped cash flow
IV.2.4	Incremental VaR for a cash flow
IV.2.5	Normal linear VaR for an exposure to two yield curves
IV.2.6	Spread and LIBOR components of normal linear VaR
IV.2.7	Applying a cash-flow map to interest rate scenarios
IV.2.8	VaR of UK fixed income portfolio
IV.2.9	Using principal components as risk factors
IV.2.10	Computing the PC VaR
IV.2.11	VaR for cash equity positions
IV.2.12	Systematic VaR based on an equity factor model
IV.2.13	Disaggregation of VaR into systematic VaR and specific VaR
IV.2.14	Equity and forex VaR
IV.2.15	VaR for international equity exposures
IV.2.16	Interest rate VaR from forex exposure
IV.2.17	VaR for a hedged international stock portfolio
IV.2.18	Estimating student t linear VaR at the portfolio level
IV.2.19	Comparison of normal and student ...