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:
Matt Pritsker
Value-at-Risk:
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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