Value-at-Risk: Theory and Practice

Book Description

Value-at-risk (VaR) is a measure of market risk that has been widely adopted since the mid-1990s for use on trading floors. This is the first advanced book published on VaR. It describes how to design, implement, and use scalable production VaR measures on actual trading floors. It takes readers from the basics of VaR to the most advanced techniques, many of which have never been published in book form.

Practical, detailed examples are drawn from markets around the world, including: Euro deposits, Pacific Basin equities, physical coffees, and North American natural gas.

Real-world challenges relating to market data, portfolio mappings, multicollinearity, and intra-horizon events are addressed in detail. Exercises reinforce concepts and walk readers step-by-step through computations.

Sophisticated techniques are fully disclosed, including: quadratic ("delta-gamma") methods for nonlinear portfolios, variance reduction (control variates and stratified sampling) for Monte Carlo VaR measures, principal component remappings, techniques to "fix" estimated covariance matrices that are not positive-definite, the Cornish-Fisher expansion, and orthogonal GARCH.

* First advanced text on Value-at-Risk
* Practical, detailed examples drawn from markets around the world
* Exercises reinforce concepts and walk readers step-by-step through computations

Customer Reviews:

The Bible.......2006-03-30

I work in finance as a software developer. I had done some work with risk management and had read Jorion's book and Butler's. When I had to do my own VaR implementation, a colleague recommended Holton's book. It is amazing. The level of domain expertise is above anything else out there. It is sophisticated and well written. I thought I knew about VaR before reading Holton, but I didn't really. Now I know about VaR.

I noticed that someone has been posting negative reviews of the book here on Amazon. Those reviews are blatantly dishonest. I assume they are posted by a jealous competing author.

Holton is the bible.

Not helpful.......2005-06-27

This book looks good only at first sight. However, try and solve the exercises and you see there is more to VaR than the author wants us to believe. This book is too incoherent to be of any use. Just take a look at the index: A lot of things are introduced but are never used again later in the book. This makes me wonder why they were introduced at all. Some examples from the index: Hessian, GARCH, Markov process, etc.
The biggest fault however in my opinion is the treatment of Monte Carlo, the most essential tool for VaR calculation: Condensed in roughly 30 pages compared to roughly 110 pages for mathematical preliminaries and probability cannot cater to the same audience.

A good book on VaR.......2005-06-25

A good book on VaR, but finally lost its charming. Incomplete and solved cases in a pathetic manner. Theory: 80%, Practice: 10%, pathetic exercises 10%. This book doesn?t reflect its complete main purpose: theory and practice. I would choose mastering Value at Risk by Cormac Butler and Value At Risk by Jorion. My rate is 2 stars. Do it again. Don?t forget solved cases in spreadsheets.

A Smart Book.......2005-06-08

There are plenty of elementary books on VaR. This is an exception. It is a smart book for practitioners. It covers practicalities such as data cleaning, day counts and modeling intra-horizon events. It explains cutting-edge theory such as quadratic VaR, variance reduction techniques and holdings remappings. It introduces all the mathematics you need to know.

The prerequisites are modest -- about the same as for John Hull's book "Futures, Options and Other Derivatives." Holton does use some more advanced concepts, such as the Cornish-Fisher expansion or moment generating functions. He explains all of these before using them. Actually, he goes out of his way to make the mathematics accessible, devoting several chapters to explaining essential concepts. There are chapters on probability, statistics, the Monte Carlo Method, etc. Later in the book, whenever technical concepts come up, you will find an accompanying reference to an explanation in one of the earlier mathematics chapters. In this regard, the book is wonderfully self contained!

The author does make extensive use of matrix notation. This may take some getting used to if your background in linear algebra is limited, but it is worth it. Formulas that would be extremely complicated become simple when expressed with matrices. The author's notation is intuitive and used consistently throughout the book. If you see a symbol on page 10, it is going to mean exactly the same thing on page 310.

If you are serious about value-at-risk, this is the book to read.

no words needed - just buy it!.......2005-01-18

the ultimate resource for VAR theory and practice.
excellent writing, math and all.
don't spend time and money elsewere, just buy it!!

Perceived value: Mediating role of perceived risk : An article from: Journal of Marketing Theory and Practice

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Perceived value: Mediating role of perceived risk : An article from: Journal of Marketing Theory and Practice
Sanjeev Agarwal , and R Kenneth Teas
Manufacturer: Association of Marketing Theory and Practice
ProductGroup: Book
Binding: Digital
ASIN: B000BCX4IC
Release Date: 2005-09-09

Value-at-Risk Models in Action: Theory and Practice of Modelling Market Risk (Springer Finance)

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Value-at-Risk Models in Action: Theory and Practice of Modelling Market Risk (Springer Finance)
Gerhard Stahl
Manufacturer: Springer
ProductGroup: Book
Binding: Paperback

Pricing | Management & Leadership | Business & Investing | Subjects | Books

Theory and Practice, August 15, 2005: Profitability and Risk in the High-Tech Value Chain

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Theory and Practice, August 15, 2005: Profitability and Risk in the High-Tech Value Chain
Luisa Bordoni
Manufacturer: IDC Research
ProductGroup: Book
Binding: Digital

Risks | Technology | Science | Subjects | Books

Financial Management Theory and Practice (INSTRUCTOR'S MANUAL) (11th Edition)

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Financial Management Theory and Practice (INSTRUCTOR'S MANUAL) (11th Edition)
Eugene F. Brigham
Manufacturer: Thomson South-Western
ProductGroup: Book
Binding: Paperback
ASIN: B000ROGQWU

Product Description

Includes a Preface which contains a description of how some have used Financial Management. Additionally, it gives some suggestions on how the instructional aids contained in this manual or available separately can be used to enhance the course. Part I is the Course Syllabus. Part II is a table of contents for answers and solutions to end-of-chapter questions, problems and mini cases.

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Value-at-Risk: Theory and Practice
Glyn A. Holton
Manufacturer: Academic Press
ProductGroup: Book
Binding: Paperback
ASIN: B000OH7MIW

Book Description

ASTD has created a new series titled What Works, to provide you with practical tools for translating the findings of sound research into sound practice.

Creating environments and experiences that enable employees and their organizations to achieve their full potential is an enormously complex proposition. Valid research can help make sense of this complexity and provide guidance in the formulation of sound practice. However, you face at least four problems when translating research into practice:

--Research findings aren't always written in a way that makes them easily accessible;

--The volume of research can be overwhelming, and the time it takes to make sense of all of it can be prohibitive;

--Not all research is of equal quality, and so a broad and deep understanding of the literature is necessary;

--Much research, although relevant and of high quality, is on a relatively narrow aspect of any given topic.

The authors have critically assessed the research evidence on their topics and have provided authoritative and succinct reviews of the research along with implications for you. Some topics covered are

Leadership Development-interaction of leader and follower

Conflict Management-implications for conflict management, conceptual learning, and practical skills development

Diversity Training-a look at the impact and effectiveness of this training along with guidelines and resources for practitioners and approaches that have worked in some organizations

Technology Training-some critical guidelines for making wise choices in this rapidly emerging and dynamic part of workplace training and development

Behavioral Modeling-reviews of extensive research literature that examines the use of behavior modeling.

Best practices, what works in training & development: Accounting & evaluation
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Best practices, what works in training & development: Accounting & evaluation
Anthony Patrick Carnevale
Manufacturer: U.S. Dept. of Commerce, NTIS, distributor
ProductGroup: Book
Binding: Unknown Binding

Human Resources & Personnel Management | Industries & Professions | Business & Investing | Subjects | Books
ASIN: B00071VTBQ

Best practices: What works in training & development : technical training
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Best practices: What works in training & development : technical training
Anthony Patrick Carnevale
Manufacturer: Reproduced by U.S. Dept. of Commerce, N.T.I.S
ProductGroup: Book
Binding: Unknown Binding

Human Resources & Personnel Management | Industries & Professions | Business & Investing | Subjects | Books
ASIN: B000725GOQ

Book Description

If you work in the water quality management field, you know the challenges of monitoring and controlling pollutants in our water supply. The increasing problem of agricultural nonpoint source pollution requires complex solutions. Agricultural Nonpoint Source Pollution: Watershed Management and Hydrology covers the latest techniques and methods of managing large watershed areas, with an emphasis on controlling non-point source pollution, especially from agricultural run-off. Written by leading experts, the book includes topics such as: nitrate and phosphorus pollution, pesticide contamination, erosion and sedimentation, water-table management, and watershed management. The authors discuss the effects of agricultural run-off - one of the most intransigent problems now faced by environmental engineers and hydrologists. They explore each issue with an eye towards the integrated management of water quality and water resources over a defined area or region. This single-source reference gives you a complete understanding of the whats, whys, and hows of nonpoint source pollution - and more importantly of how to monitor and manage it. Agricultural Nonpoint Source Pollution: Watershed Management and Hydrology provides a broad but detailed overview that helps you to comprehend the intricacies of the problem and puts you on the path to finding the answers.

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Agricultural Process Engineering
Silas Henderson
Manufacturer: Springer
ProductGroup: Book
Binding: Hardcover

General | Engineering | Professional & Technical | Subjects | Books

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ASIN: 0870552120

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Measurement and Control in Agriculture
Sidney W. R. Cox
Manufacturer: Blackwell Science
ProductGroup: Book
Binding: Hardcover

Hospitality, Travel & Tourism | Industries & Professions | Business & Investing | Subjects | Books

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Agricultural Process Engineering 2ND Edition

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Agricultural Process Engineering 2ND Edition
S Henderson
Manufacturer: S M HENDERSON
ProductGroup: Book
Binding: Hardcover
ASIN: B000UFY402

Handbook of Fabrication Processes (06401G)

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Handbook of Fabrication Processes (06401G)
Orville D. Lascoe
Manufacturer: ASM International
ProductGroup: Book
Binding: Hardcover

General | Engineering | Professional & Technical | Subjects | Books

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All Titles | Qualifying Textbooks - Fall 2007 | Stores | Books
ASIN: 0871703025

Large and Small Scale Ethyl Alcohol Manufacturing Processes from Agricultural Raw Materials (Pollution Technology Review)

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Large and Small Scale Ethyl Alcohol Manufacturing Processes from Agricultural Raw Materials (Pollution Technology Review)

Manufacturer: Noyes Data Corporation/Noyes Publications
ProductGroup: Book
Binding: Hardcover

Oil & Energy | Industries & Professions | Business & Investing | Subjects | Books
ASIN: 0815508158

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Soil Pollution: Processes and Dynamics
Bruno Yaron , Raoul Calvet , and Rene Prost
Manufacturer: Springer
ProductGroup: Book
Binding: Hardcover

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ASIN: 354060927X

Book Description

This book is dedicated to understanding the processes governing the fate of pollutants, originating from both agriculture and industry, in soils. Investigated here are the properties of the interacting materials, pollutant partitioning between the soil phases, pollutant behavior in soils affected by environmental factors, as well as the principles to be considered in defining pollutant behavior.
The authors offer specialists working on soil pollution remediation the necessary background for their day-to-day work. The book will also be useful for graduate students starting research in this field.

Balancing phosphorus adsorption and consumption processes in experimental treatment ponds for agricultural drainage water [An article from: Ecological Engineering]

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Balancing phosphorus adsorption and consumption processes in experimental treatment ponds for agricultural drainage water [An article from: Ecological Engineering]
W. Li , and F. Recknagel
Manufacturer: Elsevier
ProductGroup: Book
Binding: Digital

Elsevier | By Publisher | e-Docs | Formats | Books
ASIN: B000PBZS3I

Book Description

This digital document is a journal article from Ecological Engineering, published by Elsevier in 2006. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

Description:
The paper discusses results from a study of phosphorus (P) forms and dynamics in the sediments of experimental treatment ponds before and after inundation. Five experimental ponds were constructed to treat irrigation drainage from pastureland adjacent to the Murray River in South Australia. The experimental ponds differed in the use of macrophytes and soil sources. A sequential extraction scheme was carried out to identify the different P forms in sediments and investigate changes of P pools over time. The sediments were also subjected to P adsorption and release experiments to study the impact of water plants on P adsorption characteristics. Results showed that: (1) the emergent water plant system had enhanced sediments P adsorption ability indicated by a decrease in P saturation and an increase in P sorption index (PSI); (2) the dense plant cover inhibited other important P removal mechanisms such as uptake by periphytes and co-precipitation; and (3) in ponds with submergent water plants, there was no improvement of sediment P adsorption, but P co-precipitation was encouraged. Based on the findings of this study, maintaining a moderate density of emergent plants was recommended to optimise the overall performance of a treatment pond system.

Development of a conservation-oriented precision agriculture system: crop production assessment and plan implementation.(precision agriculture system) ... from: Journal of Soil and Water Conservation

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Development of a conservation-oriented precision agriculture system: crop production assessment and plan implementation.(precision agriculture system) ... from: Journal of Soil and Water Conservation
N.R. Kitchen , K.A. Sudduth , D.B. Myers , R.E. Massey , E.J. Sadler , R.N. Lerch , J.W. Hummel , and H.L. Palm
Manufacturer: Thomson Gale
ProductGroup: Book
Binding: Digital

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Book Description

This digital document is an article from Journal of Soil and Water Conservation, published by Thomson Gale on November 1, 2005. The length of the article is 7724 words. The page length shown above is based on a typical 300-word page. The article is delivered in HTML format and is available in your Amazon.com Digital Locker immediately after purchase. You can view it with any web browser.

From the author: Keywords: Precision agriculture system, profitability mapping, site-specific management, topsoil depth, yield limiting factors

Citation Details
Title: Development of a conservation-oriented precision agriculture system: crop production assessment and plan implementation.(precision agriculture system)
Author: N.R. Kitchen
Publication: Journal of Soil and Water Conservation (Magazine/Journal)
Date: November 1, 2005
Publisher: Thomson Gale
Volume: 60 Issue: 6 Page: 421(10)

Distributed by Thomson Gale

FDA Told to Make Changes in Biotech Foods Review Process.(Brief Article): An article from: Food & Drink Weekly

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FDA Told to Make Changes in Biotech Foods Review Process.(Brief Article): An article from: Food & Drink Weekly

Manufacturer: Informa Economics, Inc.
ProductGroup: Book
Binding: Digital

General | Business & Investing | Subjects | Books

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Book Description

This digital document is an article from Food & Drink Weekly, published by Informa Economics, Inc. on December 6, 1999. The length of the article is 561 words. The page length shown above is based on a typical 300-word page. The article is delivered in HTML format and is available in your Amazon.com Digital Locker immediately after purchase. You can view it with any web browser.

Citation Details
Title: FDA Told to Make Changes in Biotech Foods Review Process.(Brief Article)
Publication: Food & Drink Weekly (Newsletter)
Date: December 6, 1999
Publisher: Informa Economics, Inc.
Volume: 5 Issue: 46 Page: 1

Article Type: Brief Article

Distributed by Thomson Gale

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