Risk Management: Value at Risk and Beyond [Hardcover]

M. A. H. Dempster (Editor)

Book Description

Publication Date: February 11, 2002 | ISBN-10: 0521781809 | ISBN-13: 978-0521781800 | Edition: 1st

The theory of Value at Risk (VaR), which quantifies the probability of large losses in financial transactions, won the Nobel Prize in economics for Robert Merton. As trading systems have become more complex, however, the dangers of very large losses have become more acute. The near collapse of the hedge fund Long-Term Capital Management, based on the VaR theory, is perhaps the most spectacular example: it was not stable against large and sudden fluctuations in the financial markets. This collection of papers by leading researchers addresses the weaknesses of VaR and how it might be possible to circumvent them. A crucial question is to establish what is a good measure of risk, and the further developments of VaR are considered in this light.

Editorial Reviews

Review

"...studying the articles in this volume will give the reader a profound picture of the foundations of modern risk management in the static case." Journal of the American Statistical Association

Book Description

The theory of Value at Risk (VaR), which quantifies the probability of large losses in financial transactions, won the Nobel Prize in economics for Robert Merton. The collapse of the hedge fund Long-Term Capital Management, based on the VaR theory, showed that it was limited, however. This collection of papers by leading researchers, the result of a Newton Institute workshop, addresses the weaknesses of VaR and suggests means of circumventing them. It will be appreciated by graduate students and professionals in financial risk analysis.

Product Details

• Hardcover: 290 pages
• Publisher: Cambridge University Press; 1st edition (February 11, 2002)
• Language: English
• ISBN-10: 0521781809
• ISBN-13: 978-0521781800
• Product Dimensions: 7.9 x 5.3 x 0.7 inches
• Shipping Weight: 1.4 pounds (View shipping rates and policies)
• Amazon Best Sellers Rank: #2,802,551 in Books (See Top 100 in Books)