Download PDF by Kevin Dowd: Beyond Value at Risk: The New Science of Risk Management

By Kevin Dowd

ISBN-10: 0471976229

ISBN-13: 9780471976226

Past price in danger the hot technology of probability administration A accomplished consultant to worth in danger and probability administration danger administration and dimension at the moment are, absolutely, the most popular issues within the finance international. at the present time, quantifying hazard administration isn't just a administration software - yet is additionally utilized by regulators for banks and finance homes. past price in danger presents a entire advisor to fresh advancements and present ways to VaR and chance administration, going past conventional methods to the topic and supplying a brand new, far-reaching viewpoint on funding, hedging and portfolio decision-making. the major to this precise method is a brand new determination rule - the 'Generalised Sharpe Rule', and its sensible functions. past worth in danger offers the solutions to key questions, including:* how one can enforce VaR and similar platforms within the genuine global* easy methods to make very important funding judgements and estimate their impact* how one can make hedging judgements* tips to deal with a portfolioIt deals monetary execs, teachers and scholars entire assurance of VaR either in concept and perform.

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Extra info for Beyond Value at Risk: The New Science of Risk Management (Frontiers in Finance Series)

Sample text

C. Geczy, B. A. Minton, and C. Schrand, “Why Firms Use Currency Derivatives,” Journal of Finance 82(4), 1997, pp. 1323-1354. 42 Essentials of Risk Management looked at the characteristics of Fortune 500 nonfinancial corporations that in 1990 seemed potentially exposed to foreign currency risk (from foreign operations or from foreign currency–denominated debt). They found that approximately 41 percent of the firms in the sample (of 372 companies) had used currency swaps, forwards, futures, options, or combinations of these instruments.

Nokia’s global market share plunged to 29 percent from 35 percent by mid-2003. 5 million smart phones, far short of its target of 10 million. In the first quarter of 2004, Nokia’s sales fell 2 percent in a global cell phone market that grew 40 percent from the year before, as measured by the number of units sold. Banks, for example, certainly suffer from business risks and strategic risks, as illustrated in Box 1A-3. Some of these risks are very similar to the kind of risk seen in nonfinancial companies, while others are driven by market or credit variables, even though they are not conventionally thought of as market risks or credit risks.

Introducing sophisticated models to describe risk is one way to defuse this problem, but this has its own dangers. Professionals in the financial markets invented the VaR framework as a way of measuring and comparing risk across many different markets. But as we discuss in Chapter 7, the VaR measure works well as a risk measure only for markets operating under normal conditions and only over a short period, such as one trading day. Potentially, it’s a very poor and misleading measure of risk in abnormal markets, over longer time periods, or for illiquid portfolios.

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Beyond Value at Risk: The New Science of Risk Management (Frontiers in Finance Series) by Kevin Dowd


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