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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Risk Management: Value at Risk and Beyond

Risk Management: Value at Risk and Beyond

Dempster, M. a. H.
M. a. H., Dempster

Paperback

AccountingGeneral MathematicsProbability & Statistics

ISBN10: 0521169631
ISBN13: 9780521169639
Publisher: Cambridge University Press
Published: Dec 9 2010
Pages: 290
Weight: 0.94
Height: 0.65 Width: 6.00 Depth: 9.00
Language: English
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. As trading systems have become more complex, however, the dangers of very large losses have become more acute. The near collapse of the hedge fund Long-Term Capital Management, based on the VaR theory, is perhaps the most spectacular example: it was not stable against large and sudden fluctuations in the financial markets. This collection of papers by leading researchers addresses the weaknesses of VaR and how it might be possible to circumvent them. A crucial question is to establish what is a good measure of risk, and the further developments of VaR are considered in this light.

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