The growing importance of proprietary trading, the blurring boundaries among financial sub-industries (banking, insurance, leasing, asset management, private banking), the increased volatility of financial markets and regulatory statements requiring a more and more effective risk management system for financial institutions have led to the development of the concept of Value-at-Risk (VaR)a method for managers to have a comprehensive measure able to define, in monetary terms, the risk incurred by the portfolio he or she is managing, regardless of the financial instruments held in the portfolio.
Book Details:
- Author: Pietro Penza
- ISBN: 9780470356104
- Year Published: 2001
- Pages: 320
- BISAC: BUS027000, BUSINESS & ECONOMICS/Finance
About the Book and Topic:
The growing importance of proprietary trading, the blurring boundaries among financial sub-industries (banking, insurance, leasing, asset management, private banking), the increased volatility of financial markets and regulatory statements requiring a more and more effective risk management system for financial institutions have led to the development of the concept of Value-at-Risk (VaR)a method for managers to have a comprehensive measure able to define, in monetary terms, the risk incurred by the portfolio he or she is managing, regardless of the financial instruments held in the portfolio.
VaR is a crucial innovation in risk management. The literature on the topic has only scratched the surface. This book, while giving a great overview of the subject, also gives very practical instruction in implementation and modeling.
* Written by authors with experience as both academics and practitioners, this book teaches not only theory but implementation. * Analyzes the statistical background needed for implementation of VaR models. * Shows procedures for calculating VaR for the most important basic financial instruments (i.e. debt, equity, and plain vanilla derivatives). * Analyzes the most important limitations of VaR and of the models used for calculating it–this is essential to understand the risk management framework.
About the Author
PIETRO PENZA is Manager of the Financial Risk Management practice of PricewaterhouseCoopers’ Rome office. He specializes in risk measurement and management, and value-based management. Previously, he worked with Banca Agrileasing as an in-house consultant and business analyst. VIPUL K. BANSAL, PhD, CFA, CFP, is Associate Professor of Finance at the Peter J. Tobin College of Business at St. John’s University. He was cofounder and associate director/treasurer of the International Association of Financial Engineers from 1991-1998. He conducts seminars on wide-ranging topics throughout the world. He has had assignments with numerous leading organizations, including Goldman Sachs, Citicorp, Salomon Smith Barney, Bloomberg, and The World Bank. Bansal is also coauthor of Financial Engineering: The Complete Guide to Financial Innovation.