- Cover Page
- Title Page
- Copyright
- Dedication
- Contents
- 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.5: Value at Risk for Option Portfolios
- IV.6: Risk Model Risk
- IV.7: Scenario Analysis and Stress Testing
- IV.8: Capital Allocation
- References
- Index
-
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