• Bubble Value at Risk: Extremistan and Procyclicality

    Bubble Value at Risk: Extremistan and Procyclicality (Hardback) By (author) Max C.Y. Wong

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    DescriptionMost 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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  • Full bibliographic data for Bubble Value at Risk

    Bubble Value at Risk
    Extremistan and Procyclicality
    Authors and contributors
    By (author) Max C.Y. Wong
    Physical properties
    Format: Hardback
    Number of pages: 350
    Width: 156 mm
    Height: 234 mm
    Thickness: 20 mm
    Weight: 667 g
    ISBN 13: 9789810872762
    ISBN 10: 9810872763

    BIC E4L: FIN
    BIC subject category V2: KFFK
    Nielsen BookScan Product Class 3: S4.9
    Ingram Subject Code: BE
    Libri: I-BE
    BISAC V2.8: BUS027000, BUS004000
    Warengruppen-Systematik des deutschen Buchhandels: 17870
    Thema V1.0: KFFK
    Illustrations note
    black & white illustrations
    Vivante Publishing
    Imprint name
    Vivante Publishing
    Publication date
    03 January 2011
    Publication City/Country