Book Description
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.
* First advanced text on Value-at-Risk
* Practical, detailed examples drawn from markets around the world
* Exercises reinforce concepts and walk readers step-by-step through computations
Customer Reviews:
The Bible.......2006-03-30
I work in finance as a software developer. I had done some work with risk management and had read Jorion's book and Butler's. When I had to do my own VaR implementation, a colleague recommended Holton's book. It is amazing. The level of domain expertise is above anything else out there. It is sophisticated and well written. I thought I knew about VaR before reading Holton, but I didn't really. Now I know about VaR.
I noticed that someone has been posting negative reviews of the book here on Amazon. Those reviews are blatantly dishonest. I assume they are posted by a jealous competing author.
Holton is the bible.
Not helpful.......2005-06-27
This book looks good only at first sight. However, try and solve the exercises and you see there is more to VaR than the author wants us to believe. This book is too incoherent to be of any use. Just take a look at the index: A lot of things are introduced but are never used again later in the book. This makes me wonder why they were introduced at all. Some examples from the index: Hessian, GARCH, Markov process, etc.
The biggest fault however in my opinion is the treatment of Monte Carlo, the most essential tool for VaR calculation: Condensed in roughly 30 pages compared to roughly 110 pages for mathematical preliminaries and probability cannot cater to the same audience.
A good book on VaR.......2005-06-25
A good book on VaR, but finally lost its charming. Incomplete and solved cases in a pathetic manner. Theory: 80%, Practice: 10%, pathetic exercises 10%. This book doesn?t reflect its complete main purpose: theory and practice. I would choose mastering Value at Risk by Cormac Butler and Value At Risk by Jorion. My rate is 2 stars. Do it again. Don?t forget solved cases in spreadsheets.
A Smart Book.......2005-06-08
There are plenty of elementary books on VaR. This is an exception. It is a smart book for practitioners. It covers practicalities such as data cleaning, day counts and modeling intra-horizon events. It explains cutting-edge theory such as quadratic VaR, variance reduction techniques and holdings remappings. It introduces all the mathematics you need to know.
The prerequisites are modest -- about the same as for John Hull's book "Futures, Options and Other Derivatives." Holton does use some more advanced concepts, such as the Cornish-Fisher expansion or moment generating functions. He explains all of these before using them. Actually, he goes out of his way to make the mathematics accessible, devoting several chapters to explaining essential concepts. There are chapters on probability, statistics, the Monte Carlo Method, etc. Later in the book, whenever technical concepts come up, you will find an accompanying reference to an explanation in one of the earlier mathematics chapters. In this regard, the book is wonderfully self contained!
The author does make extensive use of matrix notation. This may take some getting used to if your background in linear algebra is limited, but it is worth it. Formulas that would be extremely complicated become simple when expressed with matrices. The author's notation is intuitive and used consistently throughout the book. If you see a symbol on page 10, it is going to mean exactly the same thing on page 310.
If you are serious about value-at-risk, this is the book to read.
no words needed - just buy it!.......2005-01-18
the ultimate resource for VAR theory and practice.
excellent writing, math and all.
don't spend time and money elsewere, just buy it!!
Book Description
Based on an enormously popular "derivative instruments and applications" course taught by risk expert Christopher Culp at the University of Chicago, Risk Transfer will prepare both current practitioners and students alike for many of the issues and problems they will face in derivative markets. Filled with in-depth insight and practical advice, this book is an essential resource for those who want a comprehensive education and working knowledge of this major field in finance, as well as professionals studying to pass the GARP FRM exam.
Christopher L. Culp, PhD (Chicago, IL), is a Principal at CP Risk Management LLC and is also Adjunct Professor of Finance at the University of Chicago. He is the author of Corporate Aftershock (0-471-43002-1) and The ART of Risk Management (0-471-12495-8).
Download Description
Based on an enormously popular "derivative instruments and applications" course taught by risk expert Christopher Culp at the University of Chicago, Risk Transfer will prepare both current practitioners and students alike for many of the issues and problems they will face in derivative markets. Filled with in-depth insight and practical advice, this book is an essential resource for those who want a comprehensive education and working knowledge of this major field in finance, as well as professionals studying to pass the GARP FRM exam.
Christopher L. Culp, PhD (Chicago, IL), is a Principal at CP Risk Management LLC and is also Adjunct Professor of Finance at the University of Chicago. He is the author of Corporate Aftershock (0-471-43002-1) and The ART of Risk Management (0-471-12495-8).
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Corporate Finance: Theory and Practice
Steve Lumby , and
Chris Jones
Manufacturer: Int. Cengage Business Press
ProductGroup: Book
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ASIN: 1861529260 |
Book Description
This bestseller offers a complete introduction to financial management and corporate finance modules for a one-year university course. It is a relatively non-mathematical text and its simple explanations of a complex area have made it extremely popular with students. The author's educational and training expertise is reflected at every stage of the book: worked examples are given after each explanation, followed by a chapter summary, `quickie' questions and more detailed practice questions. The `quickie' questions are all answered at the back of the book and the accompanying teacher's manual contains answers to all the remaining questions.
Book Description
Expert advice that applies the theory and practice of investment management to today's financial environment
The changing nature and rapid growth of the investment management industry, along with new theoretical developments in the field of finance, have led to a need for higher quality investment management practices and better qualified professionals.
The Theory and Practice of Investment Management recognizes these needs and addresses them with sharp, innovative insights from some of the most respected experts in the field of investment management.
The Theory and Practice of Investment Management discusses and describes the full scope of investment products and strategies available in today's market. Led by financial experts Frank Fabozzi and Harry Markowitz, the contributors to this book are active, successful practitioners with hands-on expertise. By combining real-world financial knowledge with investment management theory, this book provides a complete analysis of all pertinent investment products-including hedge funds and private equity-and explores a wide range of investment strategies. Tying together theoretical advances in investment management with actual applications, this book gives readers an opportunity to use proven investment management techniques to protect and grow a portfolio under many different circumstances.
Customer Reviews:
Fabulous textbook.......2003-05-18
Ideal for students doing courses on Investment Management. Very clearly written and explained. Good index. Plenty of references to other writings in the field.
Pricey Tome with a Pompous Title.......2002-10-21
This is basically a textbook at textbook's price, useful for reference only. Too theoretical and technical to be practical. One wonders how one can apply anything written in it, other than feeling impressed by the book's size and the editors' learning. Read it for pleasure if you dare! Many chapters written by Fabozzi, but very few actually by Markowitz. I feel good having a book edited by a Nobel prizewinner sitting on my shelf among my other investment books (and I have many) but that's about all I can say about it.
Book Description
- Among the thought leaders contributing to the book are:
- Ross Levin, nationally known adviser and author of The Wealth Management Index, on monitoring success in helping clients reach their goals
- William Reichenstein, professor of finance, insurance, and real estate at Baylor University, on asset allocation
- Don Phillips, managing director of Morningstar, Inc., on constructing a portfolio of mutual funds
- Roger Ibbotson, founder and chairman of Ibbotson Associates and finance professor at Yale School of Management, on controlling risk in a retirement portfolio--and many more.
- Audience: Professionals who advise retail and institutional investors
- The biggest names, the biggest ideas in investment management, together in one book
- The media constantly call upon co-editors Evensky and Katz
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Asset Management in Theory and Practice: An Introduction to Modern Portfolio Theory
Duncan Hughes
Manufacturer: Global Professional Publishing
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Binding: Paperback
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ASIN: 0852976208 |
Book Description
· Comprehensive but succinct introduction
· Theory is closely related to practice with real examples
This succinct guide introduces the reader to the asset management industry and gives an insight in to the real-life environment in which fund managers work. The theories of diversification, managing of risks, immunising portfolios against interest rate changes are here related to the practices of real asset management firms and the many constraints under which they work. It represents a comprehensive introduction to the real workings of equity, bond and other asset management to investment strategy.
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Risk Analysis in Theory and Practice (Academic Press Advanced Finance)
Jean-Paul Chavas
Manufacturer: Academic Press
ProductGroup: Book
Binding: Hardcover
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Discrete Choice Methods with Simulation
ASIN: 0121706214 |
Book Description
The objective of this book is to present this analytical framework and to illustrate how it can be used in the investigation of economic decisions under risk. In a sense, the economics of risk is a difficult subject: it involves understanding human decisions in the absence of perfect information. How do we make decisions when we do not know some of events affecting us? The complexities of our uncertain world and of how humans obtain and process information make this difficult. In spite of these difficulties, much progress has been made. First, probability theory is the corner stone of risk assessment. This allows us to measure risk in a fashion that can be communicated among decision makers or researchers. Second, risk preferences are now better understood. This provides useful insights into the economic rationality of decision making under uncertainty. Third, over the last decades, good insights have been developed about the value of information. This helps better understand the role of information in human decision making and this book provides a systematic treatment of these issues in the context of both private and public decisions under uncertainty.
* Balanced treatment of conceptual models and applied analysis
* Considers both private and public decisions under uncertainty
* Website presents application exercises in EXCEL
Download Description
The economics of risk has been a fascinating area of inquiry for at least two reasons. First, hardly any situation requiring economic decisions is certain. The sources of uncertainty are multiple and pervasive, including price risk, income risk, weather risk, and health risk. Resultantly, both private and public decisions under risk render considerable interest. Second, in recent years, there's been significant progress in understanding human behavior under uncertainty. Consequently, we now have a more refined framework to analyze decision making under risk. The author presents an analytical framework and illustrates how to use it to investigate economic decisions under risk. In a sense, the economics of risk is a difficult subject: it involves understanding human decisions in the absence of perfect information. How do we make decisions when we do not know some of events affecting us?
Book Description
A practical workbook that promotes the understanding of investment management
The Workbook includes a full answer key and brief chapter summaries, making the information that readers attain from The Theory and Practice of Investment Management (0-471-22889-0) that much more valuable.
Harry M. Markowitz, PhD (San Diego, CA), is a consultant in the finance area. In 1990 he shared the Nobel Prize in Economics for his work in portfolio theory.
Leonard Kostovetsky (Woodmere, NY) is a PhD student in finance at Princeton University. He is the founder of the Princeton Finance and Economics Forum.
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Foreign Direct Investment: Theory, Evidence and Practice
Imad A. Moosa
Manufacturer: Palgrave Macmillan
ProductGroup: Book
Binding: Hardcover
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ASIN: 0333945905 |
Book Description
In Foreign Direct Investment, Imad A. Moosa presents a survey of the vast body of literature and ideas relating to foreign direct investment that will be invaluable as a reference work for all these groups. He provides concise definition and analysis of the theories behind foreign direct investment, and considers factors affecting its implementation. The impact of foreign direct investment on economic development, host countries and the growth of multinationals, together with methods for evaluating foreign direct investment projects are discussed
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Portfolio and Investment Selection: Theory and Practice
Haim Levy , and
Marshall Sarnat
Manufacturer: Prentice Hall
ProductGroup: Book
Binding: Hardcover
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ASIN: 0136875580 |
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- Wiley CPA Examination Review Impact Audios, 2nd Edition Business Environment and Concepts Set (CPA Examination Review Impact Audios)
- Wiley GAAP 2007: Interpretation and Application of Generally Accepted Accounting Principles (Wiley Gaap)
- Wiley GAAP 2007: Interpretation and Application of Generally Accepted Accounting Principles (Wiley Gaap)
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- A Lean Guide to Transforming Healthcare: How to Implement Lean Principles in Hospitals, Medical Offices, Clinics, And Other Healthcare Organizations
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- Advanced Corporate Finance
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