超越风险价值——风险管理的新科学 Beyond Value At Risk - The New Science Of Risk Management 英文原版
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广东广州
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作者Kevin Dowd
出版社John Wiley
ISBN9780471976226
出版时间1999-05
印刷时间1999-05
印数1千册
装帧平装
开本18开
纸张轻型纸
页数288页
字数1千字
定价1205元
上书时间2024-11-20
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基本信息
By (author) Kevin Dowd
Format Paperback | 288 pages
Dimensions 175 x 243 x 15mm | 498g
Publication date 04 May 1999
Publisher John Wiley & Sons Inc
Publication City/Country New York, United States
Language English
Edition Statement 1. Auflage
ISBN10 0471976229
ISBN13 9780471976226
内容简介
Beyond Value at Risk The New Science of Risk Management A Comprehensive Guide to Value at Risk and Risk Management 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 a Generalised Sharpe Rulea , and its practical applications. Beyond Value at Risk provides the answers to key questions, including: aeo How to implement VaR and related systems in the real world aeo How to make vital investment decisions and estimate their effect aeo How to make hedging decisions aeo How to manage a portfolio It offers financial professionals, academics and students comprehensive coverage of VaR both in theory and practice.
作者简介
Kevin Dowd is Professor and Head of Economics at the University of Sheffield, England, and is an Adjunct Scholar at the Cato Institute, Washington DC. Prior to this he was Professor of Financial Economics at Sheffield Hallam University and Reader in Monetary Economics at the University of Nottingham. His previous works include Competition and Finance: A Reinterpretation of Financial and Monetary Economics (1996), and Laissez-Faire Banking (1993). He also edited The Experience of Free Banking (1992).
书籍目录
INTRODUCTION TO VAR. The Risk Management Revolution. VaR Basics. DIFFERENT APPROACHES TO MEASURING VAR. The Variance--Covariance Approach. The Historical Simulation Approach. Monte Carlo Simulation and Related Approaches. Stress Testing. RISK MANAGEMENT. Risk--Adjusting Returns and Evaluating Performance. Decision Making. Credit Risk. Liquidity, Operational and Legal Risks. Allocating Capital. Firm--Wide Risk Management. Glossary of Main Terms. Bibliography. Indexes.
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