∗ How to implement VaR and related systems in the real world
∗ How to make vital investment decisions and estimate their effect
∗ How to make hedging decisions
∗ How to manage a portfolio
It offers financial professionals, academics and students comprehensive coverage of VaR both in theory and practice.
The Risk Management Revolution.
DIFFERENT APPROACHES TO MEASURING VAR.
The Variance–Covariance Approach.
The Historical Simulation Approach.
Monte Carlo Simulation and Related Approaches.
Risk–Adjusting Returns and Evaluating Performance.
Liquidity, Operational and Legal Risks.
Firm–Wide Risk Management.
Glossary of Main Terms.
Kevin Dowd is Professor and Head of Economics at the University of Sheffield, England, and is an Adjunct Scholar at the Cato Institute, Washington DC. Prior to this he was Professor of Financial Economics at Sheffield Hallam University and Reader in Monetary Economics at the University of Nottingham. His previous works include Competition and Finance: A Reinterpretation of Financial and Monetary Economics (1996), and Laissez–Faire Banking (1993). He also edited The Experience of Free Banking (1992).