Value-at-Risk: Theory and Practice

风险价值：理论与实践

258 九品

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北京东城

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作者Glyn A. Holton (Author)

出版社‎ Academic Press Inc (3 Sept. 2004)

出版时间2004

装帧精装

页数405页

货号北京23.10

上书时间2023-09-04

已实名已认证进店收藏店铺

品相描述：九品: Publisher ‏ : ‎ Academic Press Inc (3 Sept. 2004)
Language ‏ : ‎ English
Hardcover ‏ : ‎ 405 pages
ISBN-10 ‏ : ‎ 0123540100
ISBN-13 ‏ : ‎ 978-0123540102
Dimensions ‏ : ‎ 15.88 x 2.54 x 23.02 cm

商品描述: Value-at-risk (VaR) is a measure of market risk that has been widely adopted since the mid-1990s 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 floors. It takes readers from the basics of VaR to the most advanced techniques, many of which have never been published in book form. Practical, detailed examples are drawn from markets around the world, including: Euro deposits, Pacific Basin equities, physical coffees, and North American natural gas. Real-world challenges relating to market data, portfolio mappings, multicollinearity, and intra-horizon events are addressed in detail. Exercises reinforce concepts and walk readers step-by-step through computations. Sophisticated techniques are fully disclosed, including: quadratic ("delta-gamma") methods for nonlinear portfolios, variance reduction (control variates and stratified sampling) for Monte Carlo VaR measures, principal component remappings, techniques to "fix" estimated covariance matrices that are not positive-definite, the Cornish-Fisher expansion, and orthogonal GARCH. It contains exercises which reinforce concepts and walk readers step-by-step through computations.

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