Risk Management: Value at Risk and Beyond Book + PRICE WATCH * Amazon pricing is not included in price watch

Risk Management: Value at Risk and Beyond Book

The theory of Value at Risk (VaR), which quantifies the probability of large losses in financial transactions, won the Nobel Prize in economics for Robert Merton. The collapse of the hedge fund Long-Term Capital Management, based on the VaR theory, showed that it was limited, however. This collection of papers by leading researchers, the result of a Newton Institute workshop, addresses the weaknesses of VaR and suggests means of circumventing them. It will be appreciated by graduate students and professionals in financial risk analysis.Read More

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  • 0521781809
  • 9780521781800
  • 10 January 2002
  • Cambridge University Press
  • Hardcover (Book)
  • 450
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