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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Theory And Practice by Glyn A. 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 published on VaR.
It describes how to design, implement, and use scalable production VaR measures on actual trading floors. 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.
It takes readers from the basics of VaR to the most advanced techniques, many of which have never been published holtpn book form.
Practical, detailed examples are drawn from markets around the world, including: Euro deposits, Pacific Basin equities, physical coffees, af North American natural gas. Real-world challenges relating to market data, portfolio mappings, multicollinearity, and intra-horizon events are addressed in detail.
Exercises reinforce concepts and walk readers step-by-step through computations. Sophisticated techniques are fully disclosed, including: Hardcoverpages. Published by Academic Press first published February 26th To see what your friends thought of this book, valuw sign up.
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Value At Risk: Theory And Practice by Glyn A. Holton
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