Market risk analysis. Volume IV, Value-at-risk models [electronic resource] / Carol Alexander.

ISBN:

9780470745076

9781282349483

Title:

Market risk analysis. Volume IV, Value-at-risk models [electronic resource] / Carol Alexander.

Author:

Alexander, Carol.

Personal Author:

Alexander, Carol.

Publication Information:

Chichester, England ; Hoboken, NJ : John Wiley, 2008.

Physical Description:

1 online resource (xlii, 449 pages) : illustrations, plans

Local Note:

eBooks on EBSCOhost

Subject Term:

Risk management.

Hedging (Finance)

Format:

Electronic Resources

Electronic Access:

Click here to view

Publication Date:

2008

Publication Information:

Chichester, England ; Hoboken, NJ : John Wiley, 2008.

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Shelf Number	Material Type	Copy	Shelf Location	Status
332.015195 22	1:E-BOOK	1	1:ONLINE	Searching... Unknown

Written by leading market risk academic, Professor Carol Alexander, Value-at-Risk Models forms part four of the Market Risk Analysis four volume set. Building on the three previous volumes this book provides by far the most comprehensive, rigorous and detailed treatment of market VaR models. It rests on the basic knowledge of financial mathematics and statistics gained from Volume I, of factor models, principal component analysis, statistical models of volatility and correlation and copulas from Volume II and, from Volume III, knowledge of pricing and hedging financial instruments and of mapping portfolios of similar instruments to risk factors. A unifying characteristic of the series is the pedagogical approach to practical examples that are relevant to market risk analysis in practice.

All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM . Empirical examples and case studies specific to this volume include:

Parametric linear value at risk (VaR)models: normal, Student t and normal mixture and their expected tail loss (ETL); New formulae for VaR based on autocorrelated returns; Historical simulation VaR models: how to scale historical VaR and volatility adjusted historical VaR; Monte Carlo simulation VaR models based on multivariate normal and Student t distributions, and based on copulas; Examples and case studies of numerous applications to interest rate sensitive, equity, commodity and international portfolios; Decomposition of systematic VaR of large portfolios into standard alone and marginal VaR components; Backtesting and the assessment of risk model risk; Hypothetical factor push and historical stress tests, and stress testing based on VaR and ETL.

Author Notes

Carol Alexander is a Professor of Risk Management at the ICMA Centre, University of Reading, and Chair of the Academic Advisory Council of the Professional Risk Manager's International Association (PRMIA). She is the author of Market Models: A Guide to Financial Data Analysis (John Wiley & Sons Ltd, 2001) and has been editor and contributor of a very large number of books in finance and mathematics, including the multi-volume Professional Risk Manager's Handbook (McGraw-Hill, 2008 and PRMIA Publications). Carol has published nearly 100 academic journal articles, book chapters and books, the majority of which focus on financial risk management and mathematical finance.

Professor Alexander is one of the world's leading authorities on market risk analysis. For further details, see www.carolalexander.org

List of Figures

List of Tables

List of Examples

Foreword

Preface to Volume IV

IV.1 Value at Risk and Other Risk Metrics

IV.1.1 Introduction

IV.1.2 An Overview of Market Risk Assessment

IV.1.3 Downside and Quantile Risk Metrics

IV.1.4 Defining Value at Risk

IV.1.5 Foundations of Value-at-Risk Measurement

IV.1.6 Risk Factor Value at Risk

IV.1.7 Decomposition of Value at Risk

IV.1.8 Risk Metrics Associated with Value at Risk

IV.1.9 Introduction to Value-at-Risk Models

IV.1.10 Summary and Conclusions

IV.2 Parametric Linear VaR Models

IV.2.1 Introduction

IV.2.2 Foundations of Normal Linear Value at Risk

IV.2.3 Normal Linear Value at Risk for Cash-Flow Maps

IV.2.4 Case Study: PC Value at Risk of a UK Fixed Income Portfolio

IV.2.5 Normal Linear Value at Risk for Stock Portfolios

IV.2.6 Systematic Value-at-Risk Decomposition for Stock Portfolios

IV.2.7 Case Study: Normal Linear Value at Risk for Commodity Futures

IV.2.8 Student t Distributed Linear Value at Risk

IV.2.9 Linear Value at Risk with Mixture Distributions

IV.2.10 Exponential Weighting with Parametric Linear Value at Risk

IV.2.11 Expected Tail Loss (Conditional VaR)

IV.2.12 Case Study: Credit Spread Parametric Linear Value at Risk and ETL

IV.2.13 Summary and Conclusions

IV.3 Historical Simulation

IV.3.1 Introduction

IV.3.2 Properties of Historical Value at Risk

IV.3.3 Improving the Accuracy of Historical Value at Risk

IV.3.4 Precision of Historical Value at Risk at Extreme Quantiles

IV.3.5 Historical Value at Risk for Linear Portfolios

IV.3.6 Estimating Expected Tail Loss in the Historical Value-at-Risk Model

IV.3.7 Summary and Conclusions

IV.4 Monte Carlo VaR

IV.4.1 Introduction

IV.4.2 Basic Concepts

IV.4.3 Modelling Dynamic Properties in Risk Factor Returns

IV.4.4 Modelling Risk Factor Dependence

IV.4.5 Monte Carlo Value at Risk for Linear Portfolios

IV.4.6 Summary and Conclusions

IV.5 Value at Risk for Option Portfolios

IV.5.1 Introduction

IV.5.2 Risk Characteristics of Option Portfolios

IV.5.3 Analytic Value-at-Risk Approximations

IV.5.4 Historical Value at Risk for Option Portfolios

IV.5.5 Monte Carlo Value at Risk for Option Portfolios

IV.5.6 Summary and Conclusions

IV.6 Risk Model Risk

IV.6.1 Introduction

IV.6.2 Sources of Risk Model Risk

IV.6.3 Estimation Risk

IV.6.4 Model Validation

IV.6.5 Summary and Conclusions

IV.7 Scenario Analysis and Stress Testing

IV.7.1 Introduction

IV.7.2 Scenarios on Financial Risk Factors

IV.7.3 Scenario Value at Risk and Expected Tail Loss

IV.7.4 Introduction to Stress Testing

IV.7.5 A Coherent Framework for Stress Testing

IV.7.6 Summary and Conclusions

IV.8 Capital Allocation

IV.8.1 Introduction

IV.8.2 Minimum Market Risk Capital Requirements for Banks

IV.8.3 Economic Capital Allocation

IV.8.4 Summary and Conclusions

References

Index

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Summary

Summary

Author Notes

Table of Contents