Risk Evaluation and Financial Crises is popular PDF and ePub book, written by Vadim Tsudikman in 2011-07-13, it is a fantastic choice for those who relish reading online the Business & Economics genre. Let's immerse ourselves in this engaging Business & Economics book by exploring the summary and details provided below. Remember, Risk Evaluation and Financial Crises can be Read Online from any device for your convenience.
Risk Evaluation and Financial Crises Book PDF Summary
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.
Detail Book of Risk Evaluation and Financial Crises PDF
- Author : Vadim Tsudikman
- Release : 13 July 2011
- Publisher : Pearson Education
- ISBN : 9780132824668
- Genre : Business & Economics
- Total Page : 49 pages
- Language : English
- PDF File Size : 14,8 Mb
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