Risk Evaluation and Financial Crises

Review of New Approaches to Risk Evaluation: VaR Criticism, Alternatives and Modifications

Business & Finance, Finance & Investing, Investments & Securities
Cover of the book Risk Evaluation and Financial Crises by Vadim Tsudikman, Sergey Izraylevich Ph.D., Arsen Balishyan Ph.D., CFA, Pearson Education
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Vadim Tsudikman, Sergey Izraylevich Ph.D., Arsen Balishyan Ph.D., CFA ISBN: 9780132824668
Publisher: Pearson Education Publication: July 13, 2011
Imprint: FT Press Language: English
Author: Vadim Tsudikman, Sergey Izraylevich Ph.D., Arsen Balishyan Ph.D., CFA
ISBN: 9780132824668
Publisher: Pearson Education
Publication: July 13, 2011
Imprint: FT Press
Language: English

The classification, measurement, and management of risk are central problems in the investment process. Over the past 25 years, Value at Risk (VaR) became the common universal standard in risk measurement. However, the financial crisis of 2007/2009 clearly demonstrated great discrepancies in risk estimates based on this indicator. In this report, three of the field’s leading experts objectively consider each key criticism of VaR in recent professional literature, including VaR’s underestimation of the magnitude and frequency of extreme outcomes, the difficulty of obtaining reliable VaR estimates for complex portfolios, the limited value of historical data, imperfections in the effective market hypothesis that underlies VaR, and several more. Next, the authors carefully review refinements and alternatives that have been proposed as potential replacements or complements, including Conditional VaR (Expected Shortfall), Shock VaR, modifications in the handling of parameters uncertainty, liquidity adjustment, higher moments, and more. They conclude by discussing why a sound risk management system continues to require deep understanding of complex adaptive and often irrational market mechanisms and still cannot be reduced to a mere combination of indicators, no matter how sophisticated they are.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

The classification, measurement, and management of risk are central problems in the investment process. Over the past 25 years, Value at Risk (VaR) became the common universal standard in risk measurement. However, the financial crisis of 2007/2009 clearly demonstrated great discrepancies in risk estimates based on this indicator. In this report, three of the field’s leading experts objectively consider each key criticism of VaR in recent professional literature, including VaR’s underestimation of the magnitude and frequency of extreme outcomes, the difficulty of obtaining reliable VaR estimates for complex portfolios, the limited value of historical data, imperfections in the effective market hypothesis that underlies VaR, and several more. Next, the authors carefully review refinements and alternatives that have been proposed as potential replacements or complements, including Conditional VaR (Expected Shortfall), Shock VaR, modifications in the handling of parameters uncertainty, liquidity adjustment, higher moments, and more. They conclude by discussing why a sound risk management system continues to require deep understanding of complex adaptive and often irrational market mechanisms and still cannot be reduced to a mere combination of indicators, no matter how sophisticated they are.

More books from Pearson Education

Cover of the book Valuation for Mergers and Acquisitions by Vadim Tsudikman, Sergey Izraylevich Ph.D., Arsen Balishyan Ph.D., CFA
Cover of the book Windows Server 2008 Administrator's Pocket Consultant by Vadim Tsudikman, Sergey Izraylevich Ph.D., Arsen Balishyan Ph.D., CFA
Cover of the book We Are Smarter Than Me by Vadim Tsudikman, Sergey Izraylevich Ph.D., Arsen Balishyan Ph.D., CFA
Cover of the book Implementing Cisco Collaboration Applications (CAPPS) Foundation Learning Guide (CCNP Collaboration Exam 300-085 CAPPS) by Vadim Tsudikman, Sergey Izraylevich Ph.D., Arsen Balishyan Ph.D., CFA
Cover of the book The PC and Gadget Help Desk by Vadim Tsudikman, Sergey Izraylevich Ph.D., Arsen Balishyan Ph.D., CFA
Cover of the book The Backchannel by Vadim Tsudikman, Sergey Izraylevich Ph.D., Arsen Balishyan Ph.D., CFA
Cover of the book Understanding the Risk of Investing with ETFs and Why They Still Beat Mutual Funds by Vadim Tsudikman, Sergey Izraylevich Ph.D., Arsen Balishyan Ph.D., CFA
Cover of the book The Devil's Advocate by Vadim Tsudikman, Sergey Izraylevich Ph.D., Arsen Balishyan Ph.D., CFA
Cover of the book A Shocking Revelation by Vadim Tsudikman, Sergey Izraylevich Ph.D., Arsen Balishyan Ph.D., CFA
Cover of the book Objective-C by Vadim Tsudikman, Sergey Izraylevich Ph.D., Arsen Balishyan Ph.D., CFA
Cover of the book Adobe Lightroom CC and Photoshop CC for Photographers Classroom in a Book by Vadim Tsudikman, Sergey Izraylevich Ph.D., Arsen Balishyan Ph.D., CFA
Cover of the book UNIX System V Network Programming by Vadim Tsudikman, Sergey Izraylevich Ph.D., Arsen Balishyan Ph.D., CFA
Cover of the book The Best Political Cartoons of the Year, 2010 Edition, Portable Documents by Vadim Tsudikman, Sergey Izraylevich Ph.D., Arsen Balishyan Ph.D., CFA
Cover of the book Adobe Illustrator CC Classroom in a Book (2017 release) by Vadim Tsudikman, Sergey Izraylevich Ph.D., Arsen Balishyan Ph.D., CFA
Cover of the book Security in Computing by Vadim Tsudikman, Sergey Izraylevich Ph.D., Arsen Balishyan Ph.D., CFA
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy