國立虎尾科技大學 |

登入

回首頁

The VaR modeling handbook /

Gregoriou, Greg N., (1956-)

The VaR modeling handbook /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	The VaR modeling handbook // Greg N. Gregoriou, editor.
其他題名:	Value-at-risk modeling handbook
其他作者:	Gregoriou, Greg N.,
出版者:	New York :McGraw-Hill, : c2009.,
面頁冊數:	xxii, 392 p. :ill. ; : 24 cm.;
標題:	Financial risk management. -
電子資源:	http://www.loc.gov/catdir/enhancements/fy1011/2009279451-b.html
電子資源:	http://www.loc.gov/catdir/enhancements/fy1011/2009279451-d.html
電子資源:	http://www.loc.gov/catdir/enhancements/fy1011/2009279451-t.html
ISBN:	9780071625159 (cloth) :

The VaR modeling handbook /
The VaR modeling handbook /Value-at-risk modeling handbookGreg N. Gregoriou, editor. - New York :McGraw-Hill,c2009. - xxii, 392 p. :ill. ;24 cm. - McGraw-Hill finance & investing. - McGraw-Hill finance & investing..

Includes bibliographical references and index.

Asset allocation for hedge fund strategies : how to better manage tail risk / Arjan Berkelaar, Adam Kobor, and Roy Kouwenberg -- Estimating value at risk of institutional portfolios with alternative asset classes / Roy Kouwenberg ... [et al.] -- A comparison between optimal allocations based on the modified VaR and those based on a utility-based risk measure / Laurent Bodson, Alain Cöen, and Georges Hübner -- Using CVaR to optimize and hedge portfolios / Francesco Menoncin -- Value at risk, capital standards, and risk alignment in banking firms / Guy Ford, Tyrone M. Carlin, and Nigel Finch -- The asset-liability management compound option model : a public debt management tool / Jorge A. Chan-Lau and André O. Santos -- A practitioner's critique of value-at-risk models / Robert Dubil -- Value at risk for a microcredit loan portfolio : an African microfinance institution case study / René Azokli, Emmanuel Fragnière, and Akimou Ossé -- Allocation of economic capital in banking : a simulation approach / Hans-Peter Burghof and Jan Müller -- Using tail conditional expectation for capital requirement calculation of a general insurance undertaking / João L.C. Duque, Alfredo D. Egídio dos Reis, and Ricardo Garcia -- Economic capital management for insurance companies / Rossella Bisignani, Giovanni Masala, and Marco Micocci -- Solvency II : an important case in applied VaR / Alfredo D. Egídio dos Reis, Raquel M. Gaspar, and Ana T. Vicente -- Quantile-based tail risk estimation for equity portfolios / John Cotter and Kevin Dowd -- Optimal mixed-asset portfolios / Juliane Proelss and Denis Schweizer -- Value-at-risk-adjusted performance for structured portfolios / Rosa Cocozza.

ISBN: 9780071625159 (cloth) :NT2844

LCCN: 2009279451Subjects--Topical Terms:

564847
Financial risk management.

LC Class. No.: HG4529 / .V37 2009

The VaR modeling handbook /
LDR:02789nam a2200277 a 4500 001 709752
005 20120817101816.0
008 120907s2009 nyua b 001 0 eng d
010 $a 2009279451
020 $a 9780071625159 (cloth) : $c NT2844
020 $a 0071625151 (cloth)
035 $a (OCoLC)ocn277205997
035 $a 2009279451
040 $a BTCTA $c BTCTA $d YDXCP $d BWX $d GSU $d VGM $d PMC $d CDX $d DLC
041 0 $a eng
042 $a lccopycat
050 0 0 $a HG4529 $b .V37 2009
245 0 4 $a The VaR modeling handbook / $c Greg N. Gregoriou, editor.
246 3 $a Value-at-risk modeling handbook
260 $a New York : $c c2009. $b McGraw-Hill,
300 $a xxii, 392 p. : $b ill. ; $c 24 cm.
490 1 $a McGraw-Hill finance & investing
504 $a Includes bibliographical references and index.
505 0 $a Asset allocation for hedge fund strategies : how to better manage tail risk / Arjan Berkelaar, Adam Kobor, and Roy Kouwenberg -- Estimating value at risk of institutional portfolios with alternative asset classes / Roy Kouwenberg ... [et al.] -- A comparison between optimal allocations based on the modified VaR and those based on a utility-based risk measure / Laurent Bodson, Alain Cöen, and Georges Hübner -- Using CVaR to optimize and hedge portfolios / Francesco Menoncin -- Value at risk, capital standards, and risk alignment in banking firms / Guy Ford, Tyrone M. Carlin, and Nigel Finch -- The asset-liability management compound option model : a public debt management tool / Jorge A. Chan-Lau and André O. Santos -- A practitioner's critique of value-at-risk models / Robert Dubil -- Value at risk for a microcredit loan portfolio : an African microfinance institution case study / René Azokli, Emmanuel Fragnière, and Akimou Ossé -- Allocation of economic capital in banking : a simulation approach / Hans-Peter Burghof and Jan Müller -- Using tail conditional expectation for capital requirement calculation of a general insurance undertaking / João L.C. Duque, Alfredo D. Egídio dos Reis, and Ricardo Garcia -- Economic capital management for insurance companies / Rossella Bisignani, Giovanni Masala, and Marco Micocci -- Solvency II : an important case in applied VaR / Alfredo D. Egídio dos Reis, Raquel M. Gaspar, and Ana T. Vicente -- Quantile-based tail risk estimation for equity portfolios / John Cotter and Kevin Dowd -- Optimal mixed-asset portfolios / Juliane Proelss and Denis Schweizer -- Value-at-risk-adjusted performance for structured portfolios / Rosa Cocozza.
650 0 $a Financial risk management. $3 564847
650 0 $a Financial risk management $x Simulation methods. $3 839219
650 0 $a Asset-liability management. $3 560394
650 0 $a Asset-liability management $x Simulation methods. $3 839220
700 1 $a Gregoriou, Greg N., $d 1956- $3 564731
830 0 $a McGraw-Hill finance & investing. $3 839017
856 4 2 $3 Contributor biographical information $u http://www.loc.gov/catdir/enhancements/fy1011/2009279451-b.html
856 4 2 $3 Publisher description $u http://www.loc.gov/catdir/enhancements/fy1011/2009279451-d.html
856 4 1 $3 Table of contents only $u http://www.loc.gov/catdir/enhancements/fy1011/2009279451-t.html