Bubble Value at Risk a Countercyclical Risk Management Approach

Summary: Introduces a powerful new approach to financial risk modeling with proven strategies for its real-world applications The 2008 credit crisis did much to debunk the much touted powers of Value at Risk (VaR) as a risk metric. Unlike most authors on VaR who focus on what it can do, in this book the author looks at what it cannot. In clear, accessible prose, finance practitioners, Max Wong, describes the VaR measure and what it was meant to do, then explores its various failures in the real world of crisis risk management. More importantly, he lays out a revolutionary new method of measuri.

Record details

ISBN: 9781118550359 (electronic bk.)
ISBN: 1118550358 (electronic bk.)
ISBN: 9781118550373 (electronic bk.)
ISBN: 1118550374 (electronic bk.)
Physical Description: electronic resource
remote
1 online resource (380 p.)
Publisher: New York : Wiley, 2013.

Content descriptions

General Note:	8.2: The Frequency Back Test.
Formatted Contents Note:	Bubble Value at Risk: A Countercyclical Risk Management Approach; Copyright; Contents; About the Author; Foreword; Preface; Audience; Overview of the Contents; Additional Materials; Acknowledgments; Part One: Background; Chapter 1: Introduction; 1.1: The Evolution of Riskometer; 1.2: Taleb's Extremistan; 1.3: The Turner Procyclicality; 1.4: The Common Sense of Bubble Value-at-Risk (BuVaR); Notes; Chapter 2: Essential Mathematics; 2.1: Frequentist Statistics; 2.2: Just Assumptions; i.i.d. and Stationarity; Law of Large Numbers; The Quest for Invariance; PDF and CDF; Normal Distribution.
Source of Description Note:	Description based on print version record.