By Max C. Y. Wong
The 2008 credits hindrance did a lot to debunk the a lot touted powers of price in danger (VaR) as a threat metric. in contrast to so much authors on VaR who specialize in what it might do, during this e-book the writer seems at what it can't. In transparent, obtainable prose, finance practitioners, Max Wong, describes the VaR degree and what it used to be intended to do, then explores its quite a few disasters within the actual international of drawback chance administration. extra importantly, he lays out a innovative new approach to measuring hazards, Bubble price in danger, that's countercyclical and provides a well-tested buffer opposed to marketplace crashes.
- Describes Bubble VaR, a extra macro-prudential threat degree confirmed to prevent the restrictions of VaR and by means of supplying a extra actual threat publicity estimation over marketplace cycles
- Makes a robust case that analysts and danger managers have to unlearn our current "science" of probability dimension and observe extra powerful methods to calculating hazard capital
- Illustrates each key notion or formulation with an abundance of useful, numerical examples, so much of them supplied in interactive Excel spreadsheets
- Features various real-world purposes, all through, in accordance with the author’s firsthand adventure as a veteran monetary probability analyst
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