03476nam a2200445 a 4500 36434 BD-DhAAL 20211129104458.0 191022t2009 nyua b 001 0 eng d 41610 41610 2009279451 9780071625159 (alk. paper) 0071625151 (alk. paper) (OCoLC)ocn277205997 BTCTA BTCTA YDXCP BWX GSU VGM PMC CDX DLC BD-DhAAL lccopycat HG4529 .V37 2009 332.6 The VaR modeling handbook / edited by Greg N. Gregoriou Value-at-risk modeling handbook New York : McGraw-Hill, c2009. xxii, 392 pages : illustrations ; 24 cm. McGraw-Hill finance & investing Series from jacket. Subtitle on jacket: Practical applications in alternative investing, banking, insurance, and portfolio management. Includes bibliographical references and index. 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. BBS Karim International 36434 Financial risk management. 36358 Financial risk management Simulation methods. 36359 Asset-liability management. 36360 Asset-liability management Simulation methods. 36361 Finance. 36362 Business & finance 43286 Gregoriou, Greg N., 1956- 36363 McGraw-Hill finance & investing. 36364 Ayesha Abed Library General Stacks ddc BK 0 0 ddc 0 332_600000000000000_VAR 0 66798 BRACUL BRACUL GEN 2019-10-17 Karim International 9990.00 1 332.6 VAR 3010036434 2024-09-22 2024-06-22 1 9990.00 2019-10-17 BK