Ebook Free Mastering Value Risk: A step-by-step guide to understanding & applying VAR, by Cormac. Butler
The presented book Mastering Value Risk: A Step-by-step Guide To Understanding & Applying VAR, By Cormac. Butler our company offer below is not sort of normal book. You understand, reading now does not mean to take care of the published book Mastering Value Risk: A Step-by-step Guide To Understanding & Applying VAR, By Cormac. Butler in your hand. You can obtain the soft data of Mastering Value Risk: A Step-by-step Guide To Understanding & Applying VAR, By Cormac. Butler in your gadget. Well, we suggest that guide that we proffer is the soft documents of the book Mastering Value Risk: A Step-by-step Guide To Understanding & Applying VAR, By Cormac. Butler The content and all points are very same. The distinction is just the kinds of guide Mastering Value Risk: A Step-by-step Guide To Understanding & Applying VAR, By Cormac. Butler, whereas, this problem will specifically pay.
Mastering Value Risk: A step-by-step guide to understanding & applying VAR, by Cormac. Butler
Ebook Free Mastering Value Risk: A step-by-step guide to understanding & applying VAR, by Cormac. Butler
Mastering Value Risk: A Step-by-step Guide To Understanding & Applying VAR, By Cormac. Butler. In undergoing this life, lots of people constantly aim to do as well as get the most effective. New understanding, experience, lesson, and also everything that can improve the life will certainly be done. Nevertheless, lots of people often feel confused to get those things. Feeling the minimal of encounter and sources to be much better is one of the does not have to possess. However, there is an extremely simple point that can be done. This is just what your educator always manoeuvres you to do this. Yeah, reading is the solution. Checking out a publication as this Mastering Value Risk: A Step-by-step Guide To Understanding & Applying VAR, By Cormac. Butler as well as various other recommendations could improve your life top quality. How can it be?
Poses now this Mastering Value Risk: A Step-by-step Guide To Understanding & Applying VAR, By Cormac. Butler as one of your book collection! However, it is not in your bookcase compilations. Why? This is guide Mastering Value Risk: A Step-by-step Guide To Understanding & Applying VAR, By Cormac. Butler that is offered in soft documents. You can download and install the soft data of this magnificent book Mastering Value Risk: A Step-by-step Guide To Understanding & Applying VAR, By Cormac. Butler currently and in the web link given. Yeah, various with the other people that try to find book Mastering Value Risk: A Step-by-step Guide To Understanding & Applying VAR, By Cormac. Butler outside, you can get much easier to posture this book. When some people still walk into the shop and browse guide Mastering Value Risk: A Step-by-step Guide To Understanding & Applying VAR, By Cormac. Butler, you are right here just stay on your seat and obtain the book Mastering Value Risk: A Step-by-step Guide To Understanding & Applying VAR, By Cormac. Butler.
While the other individuals in the establishment, they are uncertain to find this Mastering Value Risk: A Step-by-step Guide To Understanding & Applying VAR, By Cormac. Butler directly. It could require more times to go establishment by shop. This is why we suppose you this site. We will certainly supply the most effective way and referral to get the book Mastering Value Risk: A Step-by-step Guide To Understanding & Applying VAR, By Cormac. Butler Even this is soft documents book, it will be simplicity to carry Mastering Value Risk: A Step-by-step Guide To Understanding & Applying VAR, By Cormac. Butler anywhere or save at home. The difference is that you could not need relocate guide Mastering Value Risk: A Step-by-step Guide To Understanding & Applying VAR, By Cormac. Butler area to area. You might require only copy to the various other devices.
Currently, reading this spectacular Mastering Value Risk: A Step-by-step Guide To Understanding & Applying VAR, By Cormac. Butler will be much easier unless you get download and install the soft data below. Just here! By clicking the link to download and install Mastering Value Risk: A Step-by-step Guide To Understanding & Applying VAR, By Cormac. Butler, you can begin to obtain the book for your personal. Be the first owner of this soft documents book Mastering Value Risk: A Step-by-step Guide To Understanding & Applying VAR, By Cormac. Butler Make distinction for the others and also obtain the initial to advance for Mastering Value Risk: A Step-by-step Guide To Understanding & Applying VAR, By Cormac. Butler Present moment!
The estimation of potential losses that could arise from adverse changes in market conditions is a key element of risk management. For financial institutions and corporate treasuries across the world, Value at Risk (VaR) is rapidly emerging as the dominant methodology for estimating precisely how much money is at risk each day in the financial markets. However, the communication and application of VaR is a field in which the signal to noise ratio is not high. there is neither a widespread intuitive understanding of VaR in the market, nor an appreciation of the practicalities of its implementation and limitations. Mastering Value at Risk will close that knowledge gap, introducing this potentially powerful methodology to those most in need of its benefits, and helping all those who encounter VaR to use it wisely.
- Sales Rank: #1907522 in Books
- Published on: 1998-10-25
- Original language: English
- Number of items: 1
- Dimensions: 8.90" h x .90" w x 6.80" l, .90 pounds
- Binding: Paperback
- 256 pages
From the Back Cover
“This book provides a solid foundation for an understanding of Value at Risk from both an internal and a regulatory perspective, which should be invaluable as both an initial read and also as a continuing source of reference. Keep this by your side as a roadmap through the jungle of competing models, mathematical formulae and erudite statistics.”
- Dr Richard Flavell, Director, Lombard Risk Systems
“Cormac Butler has the distinct advantage of being a trainer in the subject, which is definitely the best assurance that he is fully up-to-speed in this complex and constantly changing field.”
- Dr D C Gardner, Chairman, Birchin International plc
The estimation of potential losses that could arise from adverse changes in market conditions is a key element of risk management. For financial institutions and corporate treasuries across the world, Value at Risk (VaR) is rapidly emerging as the dominant methodology for estimating precisely how much money is at risk each day in the financial markets.
However, the communication and application of VaR is a field in which the signal to noise ratio is not high. There is neither a widespread intuitive understanding of VaR in the market, nor an appreciation of the practicalities of its implementation and limitations.
Mastering Value at Risk will close that knowledge gap, introducing this potentially powerful methodology to those most in need of its benefits, and helping all those who encounter VaR to use it wisely.
Key topics examined include:
- A practical introduction to Value at Risk
- Value at Risk as a Tool in Supervisory Regulation
- A profile of VaR methods, how matrices are used to calculate VaR and a comparison of the variance covariance approach with other methods
- VaR on forward rate agreements
- The risk sensitivities of options
- Applying VaR principles to Credit Control
Excerpt. © Reprinted by permission. All rights reserved.
Preface
There is little doubt that, over the past four years, the profession of Financial Risk Management has grown considerably. Banks have set up specialist risk divisions whose function is not only to measure risk, but also to control it. Value at Risk has an important role to play here. Those who have a sound grasp of its principles, and who understand the unique nature of derivative risk, are in a better position not only to trade properly, but also to avoid contributing to the huge losses that many major banks have suffered in the last few years. Value at Risk is not only of interest to risk practitioners, but also to traders who want to trade profitably and, of course, to graduate and post-graduate students who want to become derivative traders, or who want to specialize in risk management. Recently, the Futures and Options Association has recommended that directors of major banks become actively involved in policies of risk management, rather than to delegate them, which is the current practice of many banks. A good grasp of VaR is, therefore, essential for this sector as well.
Mastering VaR is designed for the practitioner. Today, most practitioners recognize the importance of an interactive book, which encourages active as opposed to passive learning. Mastering VaR uses Excel spreadsheets to achieve this. If you have Excel available, you will be guided toward setting up a simple but illustrative VaR system. If you do not have Excel, the examples are designed so that you can follow them with relative ease and so at least understand how VaR systems operate.
A common complaint among practitioners is that, although there are many books on VaR, few are accessible to the non-academic. As one colleague put it, "It seems as though all writers in risk management are academic professors trying to impress more senior academic professors." In a practical world, many of the articles and books on VaR will lose the attention span of busy traders and practitioners who do not have a post-graduate degree in mathematics or statistics. Clearly, there is a gap in the market for a book which sets out, in digestible blocks, what VaR is, its limitations, and how to apply it.
The book is designed to give readers a practical insight into VaR and what this latest risk-measurement system is trying to achieve. In the first chapter, the concept of VaR is explained. You will be introduced to the concepts of volatility, normal distribution, and correlation. There are a number of practical but simple examples of each of these concepts. By the end of the chapter, you will have an intuitive understanding of the basics of VaR.
In Chapter 2, we examine why regulators and banks have found it necessary to develop a VaR system. We give you the regulators' perspective and the need for banks to "self-assess" their own risk with a view to calculating capital adequacy. We examine the role of the capital adequacy and why the existing framework is not the most suitable for measuring risk. The chapter also gives some insight into the Basle Committee and the evolution of self-assessment in terms of risk measurement.
In Chapter 3 we get down to the practical issues of risk measurement and build your knowledge of volatility and correlation (already introduced in Chapter 1). The idea behind this is to show you various approaches to the measurement of VaR and to illustrate the computational challenges of dealing with large portfolios. This chapter is to a large extent an interactive chapter where you can (if you have spreadsheets) build up a VaR measuring system which almost incorporates the broad features inherent in real VaR packages. Those who do not have spreadsheets will nevertheless to be able to follow the examples without any difficulty. Although the chapter appears very mathematical, we assume only a basic knowledge and direct nonmathematical readers to two small appendices which explain in simple terms how matrices operate.
In Chapters 4 and 5 we illustrate how fixed income products are "decomposed" and mapped onto weighting matrices for the purpose of risk measurement. Swaps, swaptions, and forward rate agreements are discussed in detail, in order to illustrate the complexities and how we can exploit natural hedging. We also compare VaR risk measurement with the more traditional forms of risk measurement, such as duration and convexity.
Chapters 6, 7, and 8 concentrate on risk measurement for options. In Chapter 6 we illustrate the unique risk nature of options and emphasize the "Greeks". In Chapter 7 we outline some of the popular strategies in which option traders engage and their risk implications. Chapter 8 then illustrates the weaknesses with the standard variance covariance approach and introduces a new method of risk measurement: Monte Carlo simulation. The principles of VaR are not just confined to market risk. In Chapter 9, we show how we can apply VaR principles to the estimation of credit risk. In particular, we look at CreditMetrics and the growth in the use of credit derivatives.
In Chapter 10, we concentrate on volatility forecasting and estimation. We illustrate the unique nature of volatility and the various models used by practitioners In particular, we talk about GARCH and compare this method to the exponentially weighted moving average method, as adopted by RiskMetrics. Finally, in Chapter 11, we look at the particular problems with modeling risk in general and in, particular, the pitfall of overreliance on models to measure risk.
Questions & answers
We have launched a new website, answerback.org, to deal with the most popular questions and queries that readers have raised, after reading Mastering Value at Risk. If you are stuck on any area, please send your question to us via the website. You will also see questions and answers from other readers.
Most helpful customer reviews
4 of 8 people found the following review helpful.
Easy comprehension
By A Customer
This is what we often call "A cook book". It teaches us how to implement the risk valuation step by step.And it does provide a comprehensive way for us.But I still think the writer exclude the operaton risk and liquidity risk is a little....Since this is a dynamic world and there is a great possibility for us to face the extreme situation very often compared with the used-to- be.The LTCM is one of the case for the liquidity risk.So people have to think how should we cope with such a situation. Especially for the people who live the east Asia,we export the financial contraction,so the liquidity risk is one of the serious problem we would often face....So....This is still a great book....but perhaps the content is too little for us...
10 of 10 people found the following review helpful.
A practical book on VaR
By Aaron F. De la Rosa
Mastering Value at Risk is 80% practical and 20% theoretical. However, there are a lot of mistakes, specially printing and calculation mistakes. For example, page 24, 25, etc. ambiguous exercises. I require professional solved cases and applications of the real world. Back testing and stress testing themes present a poor development.
There is a great practical case on EWMA, but it can not be compared to GARCH model, because there is not a practical case on GARCH. There is no useful application. This model is only mentioned and explained theoretically. On the other hand Montecarlo Simulation presents a certain confusion. It's unclear and imprecise.
Finally, at the end of the book an address and e-mail are written in order to make contact with the author, but such an e-mail doesn't exist. It was impossible for me to contact Cormac Butler by means of that e-mail. Besides, there is a website in order to send your questions and queries named answerback.org. It was not possible for me to access this website.
Well, the book is good for a reader used to calculate VaR, not for beginners, because of printing errors and calculation mistakes. You must to identify them before to continue the next lesson and theme. Well, my rating to this book is 3 stars.
5 of 5 people found the following review helpful.
Until something better comes along. . .
By Polymath-In-Training
The other reviewers are correct about the errors. The results of Mr. Butler's formulas sometimes don't match the formulas themselves which in turn don't match his results in the spreadsheets. Also, the grammar, particularly the punctuation, leaves much to be desired. This book had either a poor editor or no editor.
However, Mr. Butler is the only author to write a book that shows actual real-world VaR calculations. The other books give plenty of theory, but never enough detail to enable you to do your own VaR calculations. So until something similar and better comes along, this book will have to do. And really, the errors in the spreadsheets are not that hard to spot if you just follow the text and if you are aware that the errors are there.
Mastering Value Risk: A step-by-step guide to understanding & applying VAR, by Cormac. Butler PDF
Mastering Value Risk: A step-by-step guide to understanding & applying VAR, by Cormac. Butler EPub
Mastering Value Risk: A step-by-step guide to understanding & applying VAR, by Cormac. Butler Doc
Mastering Value Risk: A step-by-step guide to understanding & applying VAR, by Cormac. Butler iBooks
Mastering Value Risk: A step-by-step guide to understanding & applying VAR, by Cormac. Butler rtf
Mastering Value Risk: A step-by-step guide to understanding & applying VAR, by Cormac. Butler Mobipocket
Mastering Value Risk: A step-by-step guide to understanding & applying VAR, by Cormac. Butler Kindle
