The Gregoriou, Greg N. 1956- text bibliography nyu New York McGraw-Hill c2009 2009 monographic eng

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xxii, 392 pages : illustrations ; 24 cm. Asset allocation for hedge fund strategies : how to better manage tail risk / Arjan Berkelaar, Adam Kobor, and Roy Kouwenberg -- Estimating value at risk of institutional portfolios with alternative asset classes / Roy Kouwenberg ... [et al.] -- A comparison between optimal allocations based on the modified VaR and those based on a utility-based risk measure / Laurent Bodson, Alain Cöen, and Georges Hübner -- Using CVaR to optimize and hedge portfolios / Francesco Menoncin -- Value at risk, capital standards, and risk alignment in banking firms / Guy Ford, Tyrone M. Carlin, and Nigel Finch -- The asset-liability management compound option model : a public debt management tool / Jorge A. Chan-Lau and André O. Santos -- A practitioner's critique of value-at-risk models / Robert Dubil -- Value at risk for a microcredit loan portfolio : an African microfinance institution case study / René Azokli, Emmanuel Fragnière, and Akimou Ossé -- Allocation of economic capital in banking : a simulation approach / Hans-Peter Burghof and Jan Müller -- Using tail conditional expectation for capital requirement calculation of a general insurance undertaking / João L.C. Duque, Alfredo D. Egídio dos Reis, and Ricardo Garcia -- Economic capital management for insurance companies / Rossella Bisignani, Giovanni Masala, and Marco Micocci -- Solvency II : an important case in applied VaR / Alfredo D. Egídio dos Reis, Raquel M. Gaspar, and Ana T. Vicente -- Quantile-based tail risk estimation for equity portfolios / John Cotter and Kevin Dowd -- Optimal mixed-asset portfolios / Juliane Proelss and Denis Schweizer -- Value-at-risk-adjusted performance for structured portfolios / Rosa Cocozza. edited by Greg N. Gregoriou Series from jacket. Subtitle on jacket: Practical applications in alternative investing, banking, insurance, and portfolio management. Includes bibliographical references and index. BBS Financial risk management Financial risk management Simulation methods Asset-liability management Asset-liability management Simulation methods Finance Business & finance HG4529 .V37 2009 332.6 9780071625159 (alk. paper) 0071625151 (alk. paper) 2009279451 Ayesha Abed Library BTCTA 191022 20211129104458.0 36434