VAR: Understanding and Applying Value at Risk

This work provides a comprehensive reference source on the development and application of VAR in financial institutions and corporations. It is an edited collection of 40 articles tracing the development, applications and future of this ubiquitous methodology.

Table of Contents:
Foreword I. INTRODUCING VAR Introduction Martin E Titus Jr and Donald Lewis Variations on a Theme Nick Reed How to Calculate VAR Charles Smithson with Lyle Minton The Right VAR Charles Smithson with Lyle Minton Banks Grasp the VAR Nettle Dan Heron and Richard Irving The Right Approach Kenneth Leong Quality Control Cedomir Crnkovic and Jordan Drachman Operating Procedures Douglas Hoffman and Marta Johnson II. ASSESSING VAR Introduction Dori Nagar and Richard Singer How Safe is RiskMetrics? Colin Lawrence and Gary Robinson A Transparent Tool Jacques Longerstaey and Peter Zangari Optional Extras Sumit Paul-Choudhury Expect the Worst Jacob Boudoukh, Matthew Richardson and Robert Whitelaw Model Risk Emanuel Derman Improving on VAR Mark Garman More Haste, Less Precision Gary Robinson Why VAR is in Vogue Margins of Error Gabriel Bousbib VAR: Seductive but Dangerous Tanya Styblo Beder Report Card on Value at Risk: High Potential but Slow Starter Tanya Styblo Beder Value at Risk - New Approaches to Risk Management Katerina Simons Value at Risk: A New Methodology for Measuring Portfolio Risk Gregory Hopper Evaluation of Value-at-Risk Models Using Historical Data Darryl Hendricks Bank Capital and Value at Risk Patricia Jackson, David J Maude and William Perraudin Risk2: Measuring the Risk in Value at Risk Philippe Jorion Techniques for Verifying the Accuracy of Risk Measurement Models Paul H Kupiec III. SELECTING AND IMPROVING VAR METHODOLOGIES: NEW RESEARCH Introduction Andrew Smith Beyond VAR and Stress Testing Julian Shaw VAR Analytics: Portfolio Structure, Key Rate Convexities and VAR Betas Thomas Ho, Michael Chen and Fred Eng Evaluating VAR Methodologies: Accuracy versus Computational Time Matt Pritsker Value-at-Risk: Implementing a Risk Measurement Standard Chris Marshall and Michael Siegel Principals of Risk: Finding VAR through Factor-Based Interest Rate Scenarios Jon Frye Scrambled Nets for VAR Calculations Art B Owen and Domingo Tavella The Value-at-Risk Approach: Proposals on a Generalisation Michael Schroder Quadratic Maximum Loss for Risk Measurement of Portfolios Gerold Studer and Hans-Jakob Luthi The Value at Risk of a Portfolio of Currency Derivatives under Worst-Case Distributional Assumptions Matthew Page and Doug Costa IV. CORPORATE APPLICATIONS AND FIRMWIDE RISK MANAGEMENT Introduction Christopher Hamilton and Bjorn Pettersen What is VAR? David Shimko Handle with Sensitivity Gregory Hayt and Shang Song VAR as an Industrial Tool Chris Turner VAR for Corporates David Shimko Investors' Return on VAR David Shimko VARMD=LAR Richard Singer Veba's Way with VAR Andrew Priest VAR with Muscles Martin Hiemstra Not so Simple for Siemens Andrew Priest Crossing the Divide Sumit Paul-Choudhury Taking it from the Top Mike Baliman Together They Stand Robert Allen Total Enterprise-wide Risk Management Christopher Hamilton and Andrew Smith Index

Review :
"Provides an excellent overview of VAR techniques" Satyajit Das, Finance & Treasury Professional