Bubble Value at Risk: Extremistan and Procyclicality

Bubble Value at Risk: Extremistan and Procyclicality


By (author) Max C.Y. Wong

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  • Publisher: Vivante Publishing
  • Format: Hardback | 350 pages
  • Dimensions: 160mm x 236mm x 30mm | 544g
  • Publication date: 3 January 2011
  • Publication City/Country: Singapore
  • ISBN 10: 9810872763
  • ISBN 13: 9789810872762
  • Illustrations note: black & white illustrations

Product description

Most risk management books introduce Value at Risk (VaR) by focusing on what it can do and its statistical measurements. The credit crisis in 2008 was a tidal wave that debunked this well-established risk metric. In this book, the author introduces VaR by looking at its failures instead and explores possible alternatives for effective crisis risk management, including a new method of measuring risks called bubble value at risk that is countercyclical and can potentially buffer against market crashes.The frequentist-statistics-based VaR is predictive during normal circumstances but often fails patently during rare crisis episodes. In reality, crisis periods span only a tiny portion of financial market history. By relying on VaR for crisis risk management, we are using a tried and tested tool for the wrong occasion-we mistake the tree for the forest. The book argues that we need to unlearn our existing "science" of risk measurement and discover more robust ways to manage risks and to calculate risk capital.The book illustrates virtually every key concept or formula with a practical, numerical example, many of which are contained in interactive Excel spreadsheets. All worked out examples/ case studies spreadsheets are downloadable from the companion website: www.bubble-value-at-risk.com

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