Summary |
Value of Risk (VaR) has been widely accepted as a tool for quantifying market risk. The idea of a single, uniform measure of market risk is an attractive one, but understanding the underpinnings of the theory and the various models-parametric, historical, and Monte Carlo- is a vital step toward reaping rewards while limiting risks. As powerful a tool as it is, VaR can be dangerous in the real world of investing when inadequate models provide incomplete or wrong information to decision makers and analysis.
Providing risk analysis and managers with a step-by-step approach to the estimation of VaR, this book maintains a global view of the subject, encompassing all the most important issues-statistical, financial, and regulatory- that are essential to real-world implementation.
|
