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Risk Management: Value at Risk and Beyond Hardcover – February 11, 2002

ISBN-13: 978-0521883719 ISBN-10: 0521878381 Edition: 0th

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Editorial Reviews


"...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.

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