VAR : Understanding and Applying Value-at-Risk : BharatBook.com

Nov. 24, 2007 - PRLog -- Summary

Edited collection of 40 articles tracing the development, applications and future of this ubiquitous methodology

Section introductions from KPMG risk strategists give background, summarise papers and highlight major themes

Provides methodologies for selecting and improving VAR as well as corporate applications and firmwise risk management

Table of Contents

I. Introducing VAR :
Introduction
Martin E Titus Jr and Donald Lewis

Variations on a Theme
Nick Reed

How to Calculate VAR
Charles Smithson with Lyle Minton

The Right VAR
Charles Smithson with Lyle Minton

Banks Grasp the VAR Nettle
Dan Heron and Richard Irving

The Right Approach
Kenneth Leong

Quality Control
Cedomir Crnkovic and Jordan Drachman

Operating Procedures
Douglas Hoffman and Marta Johnson

II. Assessing VAR
Introduction
Dori Nagar and Richard Singer

How Safe is RiskMetrics?
Colin Lawrence and Gary Robinson

A Transparent Tool
Jacques Longerstaey and Peter Zangari

Optional Extras
Sumit Paul-Choudhury

Expect the Worst
Jacob Boudoukh, Matthew Richardson and Robert Whitelaw

Model Risk
Emanuel Derman

Improving on VAR
Mark Garman

More Haste, Less Precision
Gary Robinson

Why VAR is in Vogue

Margins of Error
Gabriel Bousbib

VAR: Seductive but Dangerous
Tanya Styblo Beder

Report Card on Value at Risk: High Potential but Slow Starter
Tanya Styblo Beder

Value at Risk – New Approaches to Risk Management
Katerina Simons

Value at Risk: A New Methodology for Measuring Portfolio Risk
Gregory Hopper

Evaluation of Value-at-Risk Models Using Historical Data
Darryl Hendricks

Bank Capital and Value at Risk
Patricia Jackson, David J Maude and William Perraudin

Risk2: Measuring the Risk in Value at Risk
Philippe Jorion

Techniques for Verifying the Accuracy of Risk Measurement Models
Paul H Kupiec

III. Selecting and Improving VAR Methoologies :New Research

Introduction
Andrew Smith

Beyond VAR and Stress Testing
Julian Shaw

VAR Analytics: Portfolio Structure, Key Rate Convexities and VAR Betas
Thomas Ho, Michael Chen and Fred Eng

Evaluating VAR Methodologies: Accuracy versus Computational Time
Matt Pritsker

Value-at-Risk: Implementing a Risk Measurement Standard
Chris Marshall and Michael Siegel

Principals of Risk: Finding VAR through Factor-Based Interest Rate Scenarios
Jon Frye

Scrambled Nets for VAR Calculations
Art B Owen and Domingo Tavella

The Value-at-Risk Approach: Proposals on a Generalisation
Michael Schröder

Quadratic Maximum Loss for Risk Measurement of Portfolios
Gerold Studer and Hans-Jakob Lüthi

The Value at Risk of a Portfolio of Currency Derivatives under Worst-Case Distributional Assumptions
Matthew Page and Doug Costa

IV. Corporate Applications and Firmwide Risk Management

Introduction
Christopher Hamilton and Bjorn Pettersen

What is VAR?
David Shimko

Handle with Sensitivity
Gregory Hayt and Shang Song

VAR as an Industrial Tool
Chris Turner

VAR for Corporates
David Shimko

Investors’ Return on VAR
David Shimko

VARMD=LAR
Richard Singer

Veba’s Way with VAR
Andrew Priest

VAR with Muscles
Martin Hiemstra

Not so Simple for Siemens
Andrew Priest

Crossing the Divide Sumit
Paul-Choudhury

Taking it from the Top
Mike Baliman

Together They Stand
Robert Allen

Total Enterprise-wide Risk Management
Christopher Hamilton and Andrew Smith

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