Wong Bubble Value at Risk

A Countercyclical Risk Management Approach, Revised Edition
1. Auflage 2013
ISBN: 978-1-118-55035-9
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 368 Seiten, E-Book

Reihe: Wiley Finance Editions

Introduces a powerful new approach to financial risk modelingwith proven strategies for its real-world applications
The 2008 credit crisis did much to debunk the much touted powersof Value at Risk (VaR) as a risk metric. Unlike most authors on VaRwho focus on what it can do, in this book the author looks at whatit cannot. In clear, accessible prose, finance practitioners, MaxWong, describes the VaR measure and what it was meant to do, thenexplores its various failures in the real world of crisis riskmanagement. More importantly, he lays out a revolutionary newmethod of measuring risks, Bubble Value at Risk, that iscountercyclical and offers a well-tested buffer against marketcrashes.
* Describes Bubble VaR, a more macro-prudential risk measureproven to avoid the limitations of VaR and by providing a moreaccurate risk exposure estimation over market cycles
* Makes a strong case that analysts and risk managers need tounlearn our existing "science" of risk measurement and discovermore robust approaches to calculating risk capital
* Illustrates every key concept or formula with an abundance ofpractical, numerical examples, most of them provided in interactiveExcel spreadsheets
* Features numerous real-world applications, throughout, based onthe author's firsthand experience as a veteran financial riskanalyst

Autoren/Hrsg.

Wong, Max C. Y.

Über Autor(innen)

Max C.Y. Wong is a specialist in the area of riskmodeling and Basel III. He started his career as a derivativesconsultant at Credit Suisse First Boston in 1996. During the Asiancrisis in 1998 he traded index futures at the open-outcry floor ofSIMEX (now SGX). From 2003 to 2011, he worked for StandardChartered Bank as a risk manager and senior quant. He is currentlyhead of VaR model testing at the Royal Bank of Scotland. He haspublished papers on VaR models and Basel capital, recently lookingat innovative ways to model risk more effectively during crises andto deal with the issues of procyclicality and Black Swan event inour financial system. He has spoken on the subject at variousconferences and seminars. He holds a B.Sc. Physics from Universityof Malaya (1994) and a M.Sc. financial engineering from NationalUniversity of Singapore (2004). He is an adjunct at SingaporeManagement University, a member of the editorial board of theJournal of Risk Management in Financial Institutions, and a memberof the steering committee of PRMIA Singapore chapter.