Risk Evaluation and Financial Crises (ePub)

Name: Risk Evaluation and Financial Crises
Brand: Pearson ITP
SKU: 47995113
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Review of New Approaches to Risk Evaluation: VaR Criticism, Alternatives and Modifications (Sprache: Englisch)

Autoren: Vadim Tsudikman , Sergey Izraylevich , Cfa Balishyan Arsen Ph. D.

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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.

Autoren-Porträt von Vadim Tsudikman, Sergey Izraylevich, Cfa Balishyan Arsen Ph. D.

Vadim Tsudikman, President of High Technology Invest Inc., specializes in derivatives valuation, hedging, and capital allocation in extreme markets. He develops complex trading systems based on multicriteria analysis and genetic optimization algorithms. Sergey Izraylevich, Ph.D., Chairman of High Technology Invest Inc., has traded options for more than ten years and now creates automated systems for algorithmic options trading. Formerly a lecturer at Hebrew University of Jerusalem, he received the Golda Meir Prize for academic excellence. Izraylevich and Tsudikman are authors of Systematic Options Trading (FT Press). They cowrote a series of articles for Futures Magazine on options pricing, volatility, and risk. Arsen Balishyan, Ph.D., CFA, is Senior Financial Analyst--Equity/Options at High Technology Invest, Inc.

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Bibliographische Angaben

Autoren: Vadim Tsudikman , Sergey Izraylevich , Cfa Balishyan Arsen Ph. D.
2011, 1. Auflage, Englisch
Verlag: Pearson ITP
ISBN-10: 0132824663
ISBN-13: 9780132824668
Erscheinungsdatum: 13.07.2011

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