Beyond Value at Risk: The New Science of Risk Management
Автор:Kevin Dowd Год: 2003 Издание:John Wiley and Sons, Ltd Страниц: 276 ISBN: 0471976229 Risk management and measurement are now, without doubt, the hottest topics in the finance world. Today, quantifying risk management is not only a management tool ? but is also used by regulators for banks and finance houses. Beyond Value at Risk provides a comprehensive guide to recent developments and existing approaches to VaR and risk management, going beyond traditional approaches to the subject and offering a new, far-reaching perspective on investment, hedging and portfolio decision-making. The key to this distinctive approach is a new decision rule ? the ?Generalised Sharpe Rule, and its practical applications. Beyond Value at Risk provides the answers to key questions, including: How to implement VaR and related systems in the real world; How to make vital investment decisions and estimate their effect; How to make hedging decisions; How to manage a portfolio. It offers financial professionals, academics and students comprehensive...
