VAR

Foreword

I. INTRODUCING VAR

Introduction

Martin E Titus Jr and Donald Lewis

Variations on a Theme

Nick Reed

How to Calculate VAR

Charles Smithson with Lyle Minton

The Right VAR

Charles Smithson with Lyle Minton

Banks Grasp the VAR Nettle

Dan Heron and Richard Irving

The Right Approach

Kenneth Leong

Quality Control

Cedomir Crnkovic and Jordan Drachman

Operating Procedures

Douglas Hoffman and Marta Johnson

II. ASSESSING VAR

Introduction

Dori Nagar and Richard Singer

How Safe is RiskMetrics?

Colin Lawrence and Gary Robinson

A Transparent Tool

Jacques Longerstaey and Peter Zangari

Optional Extras

Sumit Paul-Choudhury

Expect the Worst

Jacob Boudoukh, Matthew Richardson and Robert Whitelaw

Model Risk

Emanuel Derman

Improving on VAR

Mark Garman

More Haste, Less Precision

Gary Robinson

Why VAR is in Vogue

Margins of Error

Gabriel Bousbib

VAR: Seductive but Dangerous

Tanya Styblo Beder

Report Card on Value at Risk: High Potential but Slow Starter

Tanya Styblo Beder

Value at Risk - New Approaches to Risk Management

Katerina Simons

Value at Risk: A New Methodology for Measuring Portfolio Risk

Gregory Hopper

Evaluation of Value-at-Risk Models Using Historical Data

Darryl Hendricks

Bank Capital and Value at Risk

Patricia Jackson, David J Maude and William Perraudin

Risk2: Measuring the Risk in Value at Risk

Philippe Jorion

Techniques for Verifying the Accuracy of Risk Measurement Models

Paul H Kupiec

III. SELECTING AND IMPROVING VAR METHODOLOGIES: NEW RESEARCH

Introduction

Andrew Smith

Beyond VAR and Stress Testing

Julian Shaw

VAR Analytics: Portfolio Structure, Key Rate Convexities and VAR Betas

Thomas Ho, Michael Chen and Fred Eng

Evaluating VAR Methodologies: Accuracy versus Computational Time

Matt Pritsker

Value-at-Risk: Implementing a Risk Measurement Standard

Chris Marshall and Michael Siegel

Principals of Risk: Finding VAR through Factor-Based Interest Rate Scenarios

Jon Frye

Scrambled Nets for VAR Calculations

Art B Owen and Domingo Tavella

The Value-at-Risk Approach: Proposals on a Generalisation

Michael Schröder

Quadratic Maximum Loss for Risk Measurement of Portfolios

Gerold Studer and Hans-Jakob Lüthi

The Value at Risk of a Portfolio of Currency Derivatives under Worst-Case Distributional Assumptions

Matthew Page and Doug Costa

IV. CORPORATE APPLICATIONS AND FIRMWIDE RISK MANAGEMENT

Introduction

Christopher Hamilton and Bjorn Pettersen

What is VAR?

David Shimko

Handle with Sensitivity

Gregory Hayt and Shang Song

VAR as an Industrial Tool

Chris Turner

VAR for Corporates

David Shimko

Investors’ Return on VAR

David Shimko

VARMD=LAR

Richard Singer

Veba’s Way with VAR

Andrew Priest

VAR with Muscles

Martin Hiemstra

Not so Simple for Siemens

Andrew Priest

Crossing the Divide Sumit

Paul-Choudhury

Taking it from the Top

Mike Baliman

Together They Stand

Robert Allen

Total Enterprise-wide Risk Management

Christopher Hamilton and Andrew Smith

Index