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Value At Risk The New Benchmark for Controlling Derivative Risk by Philippe Jorion

  • 176 Want to read
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  • 14 Currently reading

Published by Irwin Professional Pub .
Written in English


  • Budgeting & financial management,
  • Business strategy,
  • Investment & securities,
  • Portfolio Management,
  • Futures And Options Trading,
  • Business / Economics / Finance,
  • Business/Economics,
  • Risk management,
  • Corporate Finance,
  • Investments & Securities,
  • Financial futures

Book details:

The Physical Object
Number of Pages332
ID Numbers
Open LibraryOL8138073M
ISBN 100786308486
ISBN 109780786308484

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This book is the realisation of those conversations and presents a framework for managing market risk using Value at Risk and its companion: Stress Testing. The disk at the end of the book contains Excel spreadsheet-based examples of the VAR calculations described in the by: Value-at-risk (VaR) is a measure of market risk that has been widely adopted since the mids for use on trading floors. This is the first advanced book published on VaR. It describes how to design, implement, and use scalable production VaR measures on actual trading by: The definitive book on value-at-risk (VaR) is out in a second edition distributed free online. Start reading now. Philippe Jorion - Value at Risk - The New Benchmark for Managing Financial Risk 3rd Ed

How To Read This Book. Recognize that this is a printed form, it would be about pages. If you read it from start to finish, and do all the or so exercises, you will come away with expertise in a substantial body of quantitative finance. We study the value premium using the multiples‐based market‐to‐book decomposition of Rhodes‐Kropf, Robinson, and Viswanathan (). The market‐to‐value component drives all of the value strategy return, while the value‐to‐book component exhibits no return predictability in either portfolio sorts or firm‐level regressions. Existing results linking market‐to‐book to Author: Andrey Golubov, Theodosia Konstantinidi.   Published on behalf of the Chartered Institute of Building and endorsed by a range of construction industry institutes, this book explains the underlying concepts of value and risk, and how they relate to one another. The second edition of Value at Risk was published in August This expands the first edition by more than sixty percent, with new chapters on backtesting, stress-testing, liquidity risk, operational risk, integrated risk management, and applications of VAR. .

  Beyond Value at 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 /5(7). First, value investing is a bottom-up strategy entailing the identification of specific undervalued investment opportunities. Second, value investing is absoluteperformance-, not relative-performance oriented. Finally, value investing is a risk-averse approach; attention is paid as much to what can go wrong (risk) as to what can go right (return). No. Generally, credit risk can be defined as the potential loss in mark-to-market value that could arise from a credit event, such as a credit downgrade. Settlement risk occurs during the process of settling trades, e.g., payment in one currency against another. This is different from pre-settlement risk, which involves theFile Size: KB. Book value is a key measure that investors use to gauge a stock's valuation. The book value of a company is the total value of the company's assets, minus the company's outstanding liabilities.