Market Risk Analysis, Value at Risk Models
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About this ebook
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 CD-ROM . 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.
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