∗ 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.