The VaR modeling handbook /
| 其他作者: | |
|---|---|
| 格式: | 圖書 |
| 語言: | English |
| 出版: |
New York :
McGraw-Hill,
c2009.
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| 叢編: | McGraw-Hill finance & investing.
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| 主題: | |
| Classic Catalogue: | View this record in Classic Catalogue |
書本目錄:
- 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.