Value at risk: the new benchmark for controlling market risk

1996-08-01book1,018 citationsclosed

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Financial Risk and Volatility Modeling Risk Management in Financial Firms Risk and Portfolio Optimization

Abstract

To accommodate sweeping global economic changes, the risk management field has evolved substantially since the first edition of Value at Risk, making this revised edition a must. Updates include a new chapter on liquidity risk, information on the latest risk instruments and the expanded derivatives market, recent developments in Monte Carlo methods, and more. Value at Risk, Second Edition, will help professional risk managers understand, and operate within, today's dynamic new risk environment.

Citations in this library

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Cited by

2001Testing Density Forecasts, With Applications to Risk Management

2001Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices

2001Portfolio optimization with conditional value-at-risk objective and constraints

2005Value-at-Risk Prediction: A Comparison of Alternative Strategies

2002How Accurate Are Value‐at‐Risk Models at Commercial Banks?

2000From value at risk to stress testing: The extreme value approach

2009Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management

2006Modeling and forecasting petroleum futures volatility