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Bubble Value at Risk, Revised Edition - A Countercyclical Risk Management Approach + Website (Hardcover, Revised Edition)
Loot Price: R2,626
Discovery Miles 26 260
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Bubble Value at Risk, Revised Edition - A Countercyclical Risk Management Approach + Website (Hardcover, Revised Edition)
Expected to ship within 10 - 15 working days
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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
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