By Max C. Y. Wong
The 2008 credits quandary did a lot to debunk the a lot touted powers of price in danger (VaR) as a threat metric. not like so much authors on VaR who specialize in what it may possibly do, during this e-book the writer appears to be like at what it can't. In transparent, available prose, finance practitioners, Max Wong, describes the VaR degree and what it was once intended to do, then explores its quite a few mess ups within the actual international of quandary threat administration. extra importantly, he lays out a innovative new approach to measuring hazards, Bubble worth in danger, that's countercyclical and gives a well-tested buffer opposed to industry crashes.
- Describes Bubble VaR, a extra macro-prudential possibility degree confirmed to prevent the restrictions of VaR and via offering a extra exact threat publicity estimation over marketplace cycles
- Makes a robust case that analysts and possibility managers have to unlearn our latest "science" of hazard size and become aware of extra powerful ways to calculating chance capital
- Illustrates each key idea or formulation with an abundance of functional, numerical examples, such a lot of them supplied in interactive Excel spreadsheets
- Features various real-world purposes, all through, in response to the author’s firsthand adventure as a veteran monetary hazard analyst
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Bubble Value at Risk: A Countercyclical Risk Management Approach (Wiley Finance) by Max C. Y. Wong