Bubble Value at Risk (eBook)

A Countercyclical Risk Management Approach, Revised Edition

Max C. Y. Wong (Autor)

eBook Download: PDF

2013 | 1. Auflage
368 Seiten
John Wiley & Sons (Verlag)
978-1-118-55035-9 (ISBN)

Infos

Introduces a powerful new approach to financial risk modeling
with proven strategies for its real-world applications

The 2008 credit crisis did much to debunk the much touted powers
of Value at Risk (VaR) as a risk metric. Unlike most authors on VaR
who focus on what it can do, in this book the author looks at what
it cannot. In clear, accessible prose, finance practitioners, Max
Wong, describes the VaR measure and what it was meant to do, then
explores its various failures in the real world of crisis risk
management. More importantly, he lays out a revolutionary new
method of measuring risks, Bubble Value at Risk, that is
countercyclical and offers a well-tested buffer against market
crashes.

* Describes Bubble VaR, a more macro-prudential risk measure
proven to avoid the limitations of VaR and by providing a more
accurate risk exposure estimation over market cycles

* Makes a strong case that analysts and risk managers need to
unlearn our existing "science" of risk measurement and discover
more robust approaches to calculating risk capital

* Illustrates every key concept or formula with an abundance of
practical, numerical examples, most of them provided in interactive
Excel spreadsheets

* Features numerous real-world applications, throughout, based on
the author's firsthand experience as a veteran financial risk
analyst

Autor

Max C.Y. Wong is a specialist in the area of risk modeling and Basel III. He started his career as a derivatives consultant at Credit Suisse First Boston in 1996. During the Asian crisis in 1998 he traded index futures at the open-outcry floor of SIMEX (now SGX). From 2003 to 2011, he worked for Standard Chartered Bank as a risk manager and senior quant. He is currently head of VaR model testing at the Royal Bank of Scotland. He has published papers on VaR models and Basel capital, recently looking at innovative ways to model risk more effectively during crises and to deal with the issues of procyclicality and Black Swan event in our financial system. He has spoken on the subject at various conferences and seminars. He holds a B.Sc. Physics from University of Malaya (1994) and a M.Sc. financial engineering from National University of Singapore (2004). He is an adjunct at Singapore Management University, a member of the editorial board of the Journal of Risk Management in Financial Institutions, and a member of the steering committee of PRMIA Singapore chapter.

Produkt-Details

• Erscheint lt. Verlag: 30.1.2013
• Reihe/Serie: Wiley Finance Editions
• Reihe/Serie: Wiley Finance Editions
• Sprache: englisch
• Themenwelt: Naturwissenschaften
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Allgemeines / Lexika
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Schlagworte: Finance & Investments • Finanz- u. Anlagewesen • Finanzwesen
• ISBN-10: 1-118-55035-8 / 1118550358
• ISBN-13: 978-1-118-55035-9 / 9781118550359