{"product_id":"market-risk-analysis-value-at-risk-models","title":"Market Risk Analysis, Value at Risk Models","description":"\u003cp\u003eWritten by leading market risk academic, Professor Carol Alexander, Value-at-Risk Models forms part four of the \u003ci\u003eMarket Risk Analysis\u003c\/i\u003e four volume set. Building on the three previous volumes this book provides by far the most comprehensive, rigorous and detailed treatment of market VaR models. It rests on the basic knowledge of financial mathematics and statistics gained from Volume I, of factor models, principal component analysis, statistical models of volatility and correlation and copulas from Volume II and, from Volume III, knowledge of pricing and hedging financial instruments and of mapping portfolios of similar instruments to risk factors. A unifying characteristic of the series is the pedagogical approach to practical examples that are relevant to market risk analysis in practice.\u003c\/p\u003e \u003cp\u003eAll together, the \u003ci\u003eMarket Risk Analysis\u003c\/i\u003e 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:\u003c\/p\u003e \u003cul\u003e\n\u003cli\u003eParametric linear value at risk (VaR)models: normal, Student t and normal mixture and their expected tail loss (ETL);\u003c\/li\u003e\n\u003cli\u003eNew formulae for VaR based on autocorrelated returns;\u003c\/li\u003e\n\u003cli\u003eHistorical simulation VaR models: how to scale historical VaR and volatility adjusted historical VaR;\u003c\/li\u003e\n\u003cli\u003eMonte Carlo simulation VaR models based on multivariate normal and Student t distributions, and based on copulas;\u003c\/li\u003e\n\u003cli\u003eExamples and case studies of numerous applications to interest rate sensitive, equity, commodity and international portfolios;\u003c\/li\u003e\n\u003cli\u003eDecomposition of systematic VaR of large portfolios into standard alone and marginal VaR components;\u003c\/li\u003e\n\u003cli\u003eBacktesting and the assessment of risk model risk;\u003c\/li\u003e\n\u003cli\u003eHypothetical factor push and historical stress tests, and stress testing based on VaR and ETL.\u003c\/li\u003e\n\u003c\/ul\u003e","brand":"John Wiley \u0026 Sons Inc","offers":[{"title":"Default Title","offer_id":54240275759448,"sku":"9780470997888","price":83.99,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0278\/1295\/4195\/files\/9780470997888.jpg?v=1778575547","url":"https:\/\/agendabookshop.com\/products\/market-risk-analysis-value-at-risk-models","provider":"Agenda Bookshop","version":"1.0","type":"link"}