From the jacket flap
Most risk management books introduce Value at Risk (VaR) by focusing on what it can do and its statistical measurements. The credit crisis in 2008 was a tidal wave that debunked this well-established risk metric. In this book, the author introduces VaR by looking at its failures instead and explores possible alternatives for effective crisis risk management, including a new method of measuring risks called Bubble Value at Risk that is countercyclical and can potentially buffer against market crashes.
The frequentist statistics-based VaR is predictive during normal circumstances but often fails patently during rare crisis episodes. In reality, crisis periods span only a tiny portion of financial market history. By relying on VaR for crisis risk management, we are using a tried-and-tested tool for the wrong occasion -- mistaking the trees for the forest. The book argues that we need to unlearn our existing "science" of risk measurement and discover more robust ways of managing risk and calculating risk capital.
The book illustrates virtually every key concept or formula with a practical, numerical example, many of which are contained in interactive Excel spreadsheets.
Details
- Title Bubble Value-at-Risk Revised
- Author Max C. Wong
- Binding Hardcover
- Edition Revised Edition
- Pages 320
- Volumes 1
- Language ENG
- Publisher Wiley
- Date 2013-04-09
- Features Bibliography, Dust Cover, Index, Table of Contents
- ISBN 9781118550342 / 111855034X
- Weight 1.5 lbs (0.68 kg)
- Dimensions 9.1 x 6.2 x 1.1 in (23.11 x 15.75 x 2.79 cm)
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