Value-at-Risk: Theory and Practice

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!!

Modern Actuarial Theory and Practice, Second Edition

Average customer rating:

Useful and Relevant for Institute 300 series

Modern Actuarial Theory and Practice, Second Edition
Philip Booth , Robert Chadburn , Steven Haberman , Dewi James , Zaki Khorasanee , Robert H. Plumb , and Ben Rickayzen
Manufacturer: Chapman & Hall/CRC
ProductGroup: Book
Binding: Hardcover

General | Popular Economics | Business & Investing | Subjects | Books

General | Science | Subjects | Books

General | Mathematics | Science | Subjects | Books

Insurance Law | Business | Law | Subjects | Books

All Titles | Qualifying Textbooks - Fall 2007 | Stores | Books

Business & Investing | Qualifying Textbooks - Fall 2007 | Stores | Books

Professional | Qualifying Textbooks - Fall 2007 | Stores | Books

Science | Qualifying Textbooks - Fall 2007 | Stores | Books
Similar Items:

Fundamentals of Actuarial Mathematics
Modern Actuarial Risk Theory
Loss Models: From Data to Decisions, Second Edition
Actuaries' Survival Guide: How to Succeed in One of the Most Desirable Professions
Catastrophe Modeling:: A New Approach to Managing Risk (Huebner International Series on Risk, Insurance and Economic Security)

ASIN: 1584883685

Book Description

In the years since the publication of the first edition of this best-selling text, the incorporation of ideas and theories from the rapidly growing field of financial economics has precipitated considerable development of thinking in the actuarial profession. Modern Actuarial Theory and Practice, Second Edition integrates those changes and presents an up-to-date, comprehensive overview of UK and international actuarial theory, practice and modeling. It describes all of the traditional areas of actuarial activity, but in a manner that highlights the fundamental principles of actuarial theory and practice as well as their economic, financial, and statistical foundations.

Customer Reviews:

Useful and Relevant for Institute 300 series.......1999-02-04

A very clear book covering the Exams in the 300 series for the institute of Actuaries. Topics include Pensions, investment, asset modeling and Life.

Risk Transfer: Derivatives in Theory and Practice (Wiley Finance)

Average customer rating:

Risk Transfer: Derivatives in Theory and Practice (Wiley Finance)
Christopher L. Culp
Manufacturer: Wiley
ProductGroup: Book
Binding: Hardcover

General | Popular Economics | Business & Investing | Subjects | Books

Theory | Economics | Business & Investing | Subjects | Books

General | Business & Investing | Subjects | Books

Futures | Investing | Business & Investing | Subjects | Books

General | Investing | Business & Investing | Subjects | Books

Look Inside Business Books | Trip | Specialty Stores | Books

Look Inside Nonfiction Books | Trip | Specialty Stores | Books

All Amazon Upgrade | Amazon Upgrade | Stores | Books

Business & Investing | Amazon Upgrade | Stores | Books

Professional & Technical | Amazon Upgrade | Stores | Books

All Titles | Qualifying Textbooks - Fall 2007 | Stores | Books

Business & Investing | Qualifying Textbooks - Fall 2007 | Stores | Books

Professional | Qualifying Textbooks - Fall 2007 | Stores | Books
Similar Items:

Corporate Aftershock: The Public Policy Lessons from the Collapse of Enron and Other Major Corporations
Structured Finance and Insurance: The ART of Managing Capital and Risk (Wiley Finance)
CBOT Handbook of Futures and Options
The Eurodollar Futures and Options Handbook (Irwin Library of Investment & Finance.)
Options, Futures and Other Derivatives (6th Edition)

ASIN: 0471464988

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.

Download Description

Book Description

This book provides a new point of view on the subject of the management of uncertainty. It covers a wide variety of both theoretical and practical issues involving the analysis and management of uncertainty in the fields of finance, management and marketing. Audience: Researchers and professionals from operations research, management science and economics.

Risk Analysis in Theory and Practice (Academic Press Advanced Finance)

Average customer rating:

Risk Analysis in Theory and Practice (Academic Press Advanced Finance)
Jean-Paul Chavas
Manufacturer: Academic Press
ProductGroup: Book
Binding: Hardcover

Econometrics | Economics | Business & Investing | Subjects | Books

General | Popular Economics | Business & Investing | Subjects | Books

General | Business & Investing | Subjects | Books

General | Investing | Business & Investing | Subjects | Books

Risk Assessment | Management & Leadership | Business & Investing | Subjects | Books

Math for Business | Skills | Business & Investing | Subjects | Books

Toxicology | Pharmacology | Medicine | Subjects | Books

Look Inside Business Books | Trip | Specialty Stores | Books

All Amazon Upgrade | Amazon Upgrade | Stores | Books

Business & Investing | Amazon Upgrade | Stores | Books

Medicine | Amazon Upgrade | Stores | Books

Professional & Technical | Amazon Upgrade | Stores | Books

All Titles | Qualifying Textbooks - Fall 2007 | Stores | Books

Business & Investing | Qualifying Textbooks - Fall 2007 | Stores | Books

Medicine | Qualifying Textbooks - Fall 2007 | Stores | Books

Professional | Qualifying Textbooks - Fall 2007 | Stores | Books
Similar Items:

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?

Regulating Managed Care: Theory, Practice, and Future Options

Average customer rating:

Regulating Managed Care: Theory, Practice, and Future Options
Stuart H. Altman , Uwe E. Reinhardt , and David Schactman
Manufacturer: Jossey-Bass
ProductGroup: Book
Binding: Hardcover

General | Personal Health | Health, Mind & Body | Subjects | Books

General | Health, Mind & Body | Subjects | Books

Health Law | Family & Health Law | Law | Subjects | Books

Labor & Employment | Business | Law | Subjects | Books

General | Administration & Policy | Medicine | Subjects | Books

Health Care Delivery | Administration & Policy | Medicine | Subjects | Books

Hospital Administration | Administration & Policy | Medicine | Subjects | Books

Practice Management & Reimbursement | Administration & Policy | Medicine | Subjects | Books

Public Health | Administration & Policy | Medicine | Subjects | Books

Medicaid & Medicare | Administration & Policy | Medicine | Subjects | Books

General | Medicine | Subjects | Books

Management, Leadership & Administration | Nursing | Medicine | Subjects | Books

All Titles | Qualifying Textbooks - Fall 2007 | Stores | Books
ASIN: 0787947830

Book Description

What should be government's role in a market-oriented health care system?

What's the appropriate amount of regulation?

Who should regulate-states, federal government, or market forces?

What role do the courts play in this regulation?

Are there existing models that might guide leaders in designing an effective regulatory structure?

Welcome to the great managed care debate. In Regulating Managed Care, twenty-six of the nation's leading health policy experts give health care administrators, clinicians, and policy makers insight into the issues behind this critical exchange and provide leaders with a road map to assess the policy options available to protect the quality of our health care delivery system.

"This collection of papers, from an extraordinary group of authors, makes a valuable contribution to the ongoing policy debate and will be of interest to anyone concerned with the future of our health care system."---Charles A. Sanders, retired chairman and CEO Glaxo Inc. and former general director, Massachusetts General Hospital

Book Description

The book is aimed at teachers and students as well as practising experts in the financial area, in particular at actuaries in the field of property-casualty insurance, life insurance, reinsurance and insurance supervision. Persons working in the wider world of finance will also find many relevant ideas and examples even though credibility methods have not yet been widely applied here.

The book covers the subject of Credibility Theory extensively and includes most aspects of this topic from the simplest case to the most general dynamic model. Credibility is a lifeless topic if it is not linked closely to practical applications. The book therefore treats explicitly the tasks which the actuary encounters in his daily work such as estimation of loss ratios, claim frequencies and claim sizes.

This book deserves a place on the bookshelf of every actuary and mathematician who works, teaches or does research in the area of insurance and finance.

The Theory & Practice of Bank-Owned Life Insurance

Average customer rating:

The Theory & Practice of Bank-Owned Life Insurance
Warren T. Wamberg
Manufacturer: T. W. O. Pub
ProductGroup: Book
Binding: Hardcover
ASIN: 096476640X

Medical Malpractice: Theory, Evidence, and Public Policy

Average customer rating:

Medical Malpractice: Theory, Evidence, and Public Policy
Patricia M. Danzon
Manufacturer: Harvard University Press
ProductGroup: Book
Binding: Hardcover

General | Law | Subjects | Books

General | Medicine | Subjects | Books

Medical Ethics | Physician & Patient | Medicine | Subjects | Books

Family & General Practice | Specialties | Medicine | Subjects | Books

General | Law | Professional & Technical | Subjects | Books

General | Health, Mind & Body | Subjects | Books

All Titles | Qualifying Textbooks - Fall 2007 | Stores | Books
ASIN: 0674561155

Book Description

How often are patients seriously injured through faulty medical care? And what proportion of these people receive compensation for their injuries and suffering? This is the first book that tries to answer these questions in a careful, scholarly way. Among its important findings is that at most one in ten patients injured through medical negligence receives compensation through the malpractice system.

The focus of public attention has been on the rising cost to physicians of malpractice insurance. Although Patricia Danzon analyzes this question thoroughly, her view is much broader, encompassing the malpractice system itself--the legal process, the liability insurance markets, and the feedback to health care. As an economist, she is concerned with the efficiency or cost-effectiveness of the system from the point of view of its three social purposes: deterrence of medical negligence, compensation of injured patients, and the spreading of risk. To provide evidence of the operation of the system in practice, to distinguish fact from allegation, and to evaluate proposals for reform, she has undertaken a detailed empirical analysis of malpractice claims and insurance markets. It is a major contribution to our understanding of how the system works in practice and how it might be improved.

Connectionism: Theory and Practice (Vancouver Series in Cognitive Science)

Average customer rating:

Connectionism: Theory and Practice (Vancouver Series in Cognitive Science)

Manufacturer: Oxford University Press, USA
ProductGroup: Book
Binding: Paperback

General | Business & Investing | Subjects | Books

Parallel Processing Computers | Hardware | Computers & Internet | Subjects | Books

General | Psychology & Counseling | Health, Mind & Body | Subjects | Books

Cognitive Psychology | Behavioral Sciences | Science | Subjects | Books

General | Behavioral Sciences | Science | Subjects | Books

All Titles | Qualifying Textbooks - Fall 2007 | Stores | Books
ASIN: 0195076664

Book Description

Over the last decade, an emerging form of computational modeling has steadily gained the respect of many researchers as a radically new and promising approach to cognitive science. Known by a number of names, including "connectionism," "neural networks," and "parallel distributed processing" (PDP), this method of computation attempts to model the neural processes that are assumed to underlie cognitive functions in human beings. Unlike the digital computation methods used by AI researchers, connectionist models claim to approximate the kind of spontaneous, creative, and somewhat unpredictable behavior of human agents. However, over the last few years, a heated controversy has arisen over the extent to which connectionist models are able to provide successful explanations for higher cognitive processes. A central theme of this book reviews the adequacy of recent attempts to implement higher cognitive processes in connectionist networks. Cognitive scientists, cognitive psychologists, linguists, philosophers, computer scientists, and others exploring this fascinating science will find this book essential reading.

Books:

Books Index

Books Home

Recommended Books