Beyond Value at Risk: The New Science of Risk Management (Frontiers in Finance Series) [Paperback]

Kevin Dowd (Author)

Book Description

ISBN-10: 0471976229 | ISBN-13: 978-0471976226 | Publication Date: September 2, 1999 | Edition: 1

Beyond Value at Risk The New Science of Risk Management A Comprehensive Guide to Value at Risk and Risk Management Risk management and measurement are now, without doubt, the hottest topics in the finance world. Today, quantifying risk management is not only a management tool - but is also used by regulators for banks and finance houses. Beyond Value at Risk provides a comprehensive guide to recent developments and existing approaches to VaR and risk management, going beyond traditional approaches to the subject and offering a new, far-reaching perspective on investment, hedging and portfolio decision-making. The key to this distinctive approach is a new decision rule - the 'Generalised Sharpe Rule', and its practical applications. Beyond Value at Risk provides the answers to key questions, including:
* How to implement VaR and related systems in the real world
* How to make vital investment decisions and estimate their effect
* How to make hedging decisions
* How to manage a portfolio
It offers financial professionals, academics and students comprehensive coverage of VaR both in theory and practice.

Editorial Reviews

From the Inside Flap

Beyond Value at Risk The New Science of Risk Management Kevin Dowd Today's financial markets are experiencing a Value at Risk revolution, with risk management and measurement now the most important issues facing international finance houses. Not only are they desperate to avoid the fate of Orange County and Barings, they must also contend with fierce competition and market regulators who scrutinise their every move. VaR theory and practice is therefore developing very rapidly. Beginning with a background to VaR in the context of recent developments in risk management, Kevin Dowd gives thorough descriptions of the various existing approaches to VaR - the variance-covariance, historical simulation, Monte Carlo and related simulation approaches, including a section on stress testing. These approaches, along with the innovative new rule described by the author, 'the Generalised Sharpe Rule', are discussed in conjunction with other factors, such as credit liquidity and operational and legal risks, giving a unique, integrated approach to enterprise-wide risk management. --This text refers to an out of print or unavailable edition of this title.

From the Back Cover

Beyond Value at Risk The New Science of Risk Management A Comprehensive Guide to Value at Risk and Risk Management Risk management and measurement are now, without doubt, the hottest topics in the finance world. Today, quantifying risk management is not only a management tool - but is also used by regulators for banks and finance houses. Beyond Value at Risk provides a comprehensive guide to recent developments and existing approaches to VaR and risk management, going beyond traditional approaches to the subject and offering a new, far-reaching perspective on investment, hedging and portfolio decision-making. The key to this distinctive approach is a new decision rule - the 'Generalised Sharpe Rule', and its practical applications. Beyond Value at Risk provides the answers to key questions, including:
* How to implement VaR and related systems in the real world
* How to make vital investment decisions and estimate their effect
* How to make hedging decisions
* How to manage a portfolio
It offers financial professionals, academics and students comprehensive coverage of VaR both in theory and practice.

See all Editorial Reviews

Product Details

• Paperback: 286 pages
• Publisher: Wiley; 1 edition (September 2, 1999)
• Language: English
• ISBN-10: 0471976229
• ISBN-13: 978-0471976226
• Product Dimensions: 9.6 x 6.7 x 0.6 inches
• Shipping Weight: 1.2 pounds (View shipping rates and policies)
• Average Customer Review: 3.7 out of 5 stars  See all reviews (11 customer reviews)
• Amazon Best Sellers Rank: #1,159,829 in Books (See Top 100 in Books)

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Customer Reviews

Most Helpful Customer Reviews

18 of 18 people found the following review helpful:

5.0 out of 5 stars Best book on VaR, March 18, 2001

By 

Ben Kearney (Houston) - See all my reviews

This review is from: Beyond Value at Risk: The New Science of Risk Management (Frontiers in Finance Series) (Paperback)

When we went to implement a VaR system, the price tag was going to exceed seven figures. Needless to say, I didn't hesitate to drop some money buying the available books on VaR. They all say essentially the same things. For practical worked examples, you can't beat Butler. But unless you are an absolute beginner (do you know what delta and gamma are?) you may find it too basic. The all-round best book is Dowd. It is well organized and a pleasure to read. It covers the math, but without getting bogged down in meaningless derivations. For readers who want more information, there are plenty of references to original sources. I followed up on a number of these, and was pleasantly surprised at how easy some of this stuff is to assimilate.

21 of 23 people found the following review helpful:

2.0 out of 5 stars Not for implementors., June 12, 2000

By A Customer

This review is from: Beyond Value at Risk: The New Science of Risk Management (Frontiers in Finance Series) (Hardcover)

The author has done good work in introducing the basic concepts in Value-at-Risk. However, the text leaves some important statistical and implementation points hidden, making implementing VaR look far too easy. For example, there is no discussion about the problems involved in long-term forecasting of correlations and volatilities.

The much advertised "new distinctive investment approach", the so called "Generalized Sharpe Rule" is a rather naive treatment on classical risk/return analysis. However, the lack of mathematical rigour is well compensated with good references.

12 of 12 people found the following review helpful:

4.0 out of 5 stars Great Book !, February 28, 2000

By 

Vivek Singh (USA) - See all my reviews

This review is from: Beyond Value at Risk: The New Science of Risk Management (Frontiers in Finance Series) (Hardcover)

I think the book does a very good job in introducing every aspect of VaR. The "ENDNOTES" are very useful as it touches almost all recent ideas in the literature. The second appendix to chapter 6 is an excellent summary of recent research in VaR measurement. I took away one star because (1) My own bias toward mathematical details. The book ignores lot of technical details (2) The book devoted only 5 pages on historical simulation method. I think author could have said lot more about this topic. All in all, its a great book. If you are just diving into this exciting field of risk measurement, this is the best book.