For a given probability and time horizon, value-at-risk indicates an amount of money such that there is that probability of the portfolio not losing. Machine derived contents note: Table of contents for Value-at-risk: theory and practice / Glyn A. Holton. Bibliographic record and links to related information. Value-at-risk (VaR) is a measure of market risk that has been widely adopted since the mids for use on trading floors. This is the first advanced book.
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EBOOK: Value-at-Risk – Theory and Practice – Risk Management Guru
Henrique Schuler marked it as to-read Oct 18, We are a group of Risk Management professionals from different parts of the world who use this blog to share knowledge and ideas with other Risk professionals. Lists with This Book. It takes readers from the basics of VaR to the most advanced techniques, many of which have never been published in book form.
Real-world challenges relating to market data, portfolio mappings, multicollinearity, and intra-horizon events are addressed in detail. Sophisticated techniques are fully disclosed, including: Anca Sorina marked it as to-read May 14, Return to Book Page.
Vadim Tcacenco added it May 24, Altug Dayioglu rated it it was amazing Sep 27, Want to Read saving…. He wrote the definitive book on value-at-risk and distributes this second edition of the book freely online.
Value-at-risk : theory and practice / Glyn A. Holton – Details – Trove
Albert added it Mar 04, Holton is an independent consultant specializing in financial risk management. Open Preview See a Problem?
Eduardo marked it as to-read Sep 16, Exercises reinforce concepts and walk readers step-by-step through computations. Published by Academic Press first published February 26th It takes readers from the basics of VaR to the most advanced techniques, many of which have nev Value-at-risk VaR is a measure of market risk that has been widely adopted since the mids for use on trading floors.
Just a moment while we sign you in to your Goodreads account. To see what your friends thought of this book, please sign up. Enterprise Risk Management 02 Nov It takes readers from This is the first advanced book published on VaR.
Xun Liao marked it as to-read Jul 06, Sophisticated techniques are fully disclosed, including: It describes how to design, implement, and use scalable production Glny measures on actual trading floors. Previously, he was a market risk manager for the Bank of Boston, a vice president for Fidelity Investments, and an actuarial associate for Metropolitan Life.
No trivia or quizzes yet. Trivia About Value At Risk: He is known for his groundbreaking paper Defining Risk. Practical, detailed examples are drawn from markets around the world, including: There are no discussion topics on this book yet.
Click on the image below to access this free eBook. Read, highlight, and take notes, across web, tablet, and phone. Account Options Sign in. Practical, detailed examples are drawn from markets around the world, including: Hardcoverpages. To ask other readers questions about Value At Riskplease sign up.
Please contact us if you have any questions or need specific information. Walterpaiva added it Sep 01, This is the first advanced book published on VaR.
EBOOK: Value-at-Risk – Theory and Practice
Amali added it Feb 24, Suwapong marked it as to-read Jan 25, Value-at-risk VaR is a measure of market risk that has been widely adopted since fisk mids for use on trading floors. Mastering Data Analysis in Excel 16 Nov Kerria rated it really liked it Dec 08, It takes readers from the basics of VaR to the most vale techniques, many of which have never been published in book form.
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