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!!
Average customer rating:
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Corporate Hedging in Theory and Practice
Christopher L. Culp , and
Merton H. Miller
Manufacturer: Risk Books
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ASIN: 1899332391 |
Book Description
*The only comprehensive reference book on the MG debcle and the corporate hedging debate *Alternative perspectives of corporate hedging design and risk management from leading theoreticians *Original insights from Nobel economist Merton H Miller and Christopher L Culp
Book Description
Credit scoring aims to quantify the likelihood of a prospective borrower defaulting on payment over a specified period of time. The credit score is calculated using increasingly sophisticated statistical models, which vary considerably between individual cases. This clearly-written and comprehensive text covers the scorecard development process and provides a practical how-to guide for those wanting to use and develop credit scoring techniques. Assuming little prior knowledge, the text includes the relevant statistical and mathematical tools, numerous real-life examples, and discussion of the credit risk management cycle and the importance of credit scoring in business and regulatory environments, including Basel II. An extensive glossary and bibliography make this an indispensable desktop reference for graduate students in statistics, business, economics and finance, MBA students, credit risk and financial practitioners.
Book Description
The definitive journey into operational risk - this new multi-contributor title will guide you with the identification, modelling, implementation, analysis and integration of operational risk into your overall risk management framework.
Enables you to make more informed decisions on how to identify and avoid the potential risks as well as fully understand the acceptable risks on a cost-benefit basis.
Divided under three main sections: 1. Database Modelling, Regulatory and Technical Issues; 2. Risk Modelling and Measurement; 3. Case Studies of Implementation of Operational Risk Projects in Large Financial Institutions.
Highlights integral issues such as how to spot the links between indicators of operational risk and the potential losses.
Examines the tensions inherent in the nature of operational risk at both quantitative and qualitative levels.
Outlines the practical day-to-day issues and illustrates workable methodologies with examples, case studies and cutting-edge analysis.
Provides an even mix of both the progressive and in-depth research taking place in academic institutions as well as the actual practical implementation issues.
Provides the tools to cope with differing and complex situations within operational risk.
Edited by Marcelo Cruz, a world-renowned leading expert on operational risk modelling and measurement.
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Risk Analysis in Theory and Practice (Academic Press Advanced Finance)
Jean-Paul Chavas
Manufacturer: Academic Press
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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?
Average customer rating:
- Foolish
- fraud and corruption
|
Fraud And Corruption: Prevention And Detection
Nigel Iyer , and
Martin Samociuk
Manufacturer: Gower Publishing Company
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ASIN: 0566086999 |
Customer Reviews:
Foolish.......2007-09-27
This book quotes the Jetlag Travel guide to Molvania as source material.
The Jetlag Travel guide to Molvania is a parody, & Molvania is a fictional country.
fraud and corruption.......2007-05-07
i have not received the book yet.
kindly help me to trace it
Average customer rating:
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Narratives, Health, and Healing: Communication Theory, Research, and Practice (Lea's Communication Series) (Lea's Communication Series)
Manufacturer: Lawrence Erlbaum Associates
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Handbook of Health Communication (Lea's Communication Series)
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RESPeRATE Blood Pressure Lowering Device
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Airborne Effervescent Health Formula, Original Orange, 10 Tablets (Pack of 3)
ASIN: 0805850325 |
Product Description
This distinctive collection explores the use of narratives in the social construction of wellness and illness. Narratives, Health, and Healing emphasizes what the process of narrating accomplishes--how it serves in the health communication process where people define themselves and present their social and relational identities. Organized into four parts, the chapters included here examine health narratives in interpersonal relationships, organizations, and public fora. The editors provide an extensive introduction to weave together the various threads in the volume, highlight the approach and contribution of each chapter, and bring to the forefront the increasingly important role of narrative in health communication. This volume offers important insights on the role of narrative in communicating about health, and it will be of great interest to scholars and graduate students in health communication, health psychology, and public health. It is also relevant to medical, nursing, and allied health readers.
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Building Effective Evaluation Capacity: Lessons from Practice (Comparative Policy Analysis Series)
Manufacturer: Transaction Publishers
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ASIN: 1560003960 |
Book Description
Ted Kaczynski's manifesto. The ransom note for Jon Benét Ramsey. The anthrax letters threatening our government and media agencies. With the aid of forensic linguistics, the words criminals leave behind in their unsigned letters can be as distinctive as a signature or voice. Although the linguistic study of language is well established, this important analytical tool is something new for many jurors, judges, attorneys, and other forensic specialists dealing with both criminal and civil cases. Forensic Linguistics: Advances in Forensic Stylistics provides an introduction to the field for those who need to understand what linguist-witnesses do, and aids those experts who need to talk about what they do in non-technical terms. Stylistics is an identification method which seeks to match one piece of writing to another by analyzing such factors as spelling, text arrangement, abbreviations, word formation, characteristic words and phrases, and syntax. Forensic Linguistics: Advances in Forensic Stylistics documents current advances in this field, including quantitative methods of data analysis, a new way to provide scientific standardization, and new research directed at providing baseline data for determining the significance of style markers. The book begins with concise coverage of linguistics and writing. It then focuses on the specifics of stylistics, including summaries of over 70 authorship cases. Finally, it presents chapters covering style and stylistics in Spanish, Gujarati, Korean, and Japanese. With a clear and comprehensive presentation, Forensic Linguistics: Advances in Forensic Stylistics helps readers understand recent advances in the theory and method of forensic stylistics for authorship identification.
Customer Reviews:
Love it.......2007-05-20
Good book! And Dr. McMenamin is great. I love forensic linguistics and I took the class with him and we used this book.
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