By Max C. Y. Wong
The 2008 credits drawback did a lot to debunk the a lot touted powers of price in danger (VaR) as a probability metric. in contrast to such a lot authors on VaR who concentrate on what it will possibly do, during this ebook the writer appears at what it can't. In transparent, obtainable prose, finance practitioners, Max Wong, describes the VaR degree and what it was once intended to do, then explores its a variety of mess ups within the genuine international of challenge chance administration. extra importantly, he lays out a progressive new approach to measuring dangers, Bubble worth in danger, that's countercyclical and gives a well-tested buffer opposed to marketplace crashes.
- Describes Bubble VaR, a extra macro-prudential possibility degree confirmed to prevent the restrictions of VaR and by way of supplying a extra actual possibility publicity estimation over industry cycles
- Makes a powerful case that analysts and possibility managers have to unlearn our present "science" of danger dimension and detect extra powerful techniques to calculating probability capital
- Illustrates each key proposal or formulation with an abundance of useful, numerical examples, such a lot of them supplied in interactive Excel spreadsheets
- Features various real-world functions, all through, in keeping with the author’s firsthand adventure as a veteran monetary danger analyst
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Bubble Value at Risk: A Countercyclical Risk Management Approach (Wiley Finance) by Max C. Y. Wong