Measuring Market Risk, 2nd Edition by Kevin Dowd

Measuring Market Risk, 2nd Edition



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Measuring Market Risk, 2nd Edition Kevin Dowd ebook
ISBN: 0470013036, 9780470016510
Page: 410
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Format: pdf


CHAPTER New material has been added on behavioural finance, mutual hedge funds, venture capital and equity markets, weather and energy derivatives, carbon trading, exotic derivatives, real options, derivatives strategies, and market risk/value at risk. 1) our risk managers print daily a meaningless VaR number and make me sign it every day. The losses all took place in something called the Synthetic Credit Portfolio, which was described as a “Tail Risk Book” — something designed to make money “when the market environment moves more than three standard deviations . CHAPTER 11 International Portfolio Diversification 221. To the point that, if you want to be all “don't look at one number to measure risk, you jerks,” VaR is the one number you tell the jerks not to look at. The main products I have in the book have been issued in very very large amounts. It's not pointless because of "fat tails", it is pointless because of the market situation. It didn't help that much here, . CHAPTER 10 Portfolio Theory 189. CHAPTER 9 Measuring Asset Returns 153. Material on Corporate Finance has been removed. As prices fall, measured risks rise, or previous correlations break down, market participants respond by further cutting exposures.