We're sorry, but eCampus.com doesn't work properly without JavaScript.
Either your device does not support JavaScript or you do not have JavaScript enabled.
How to enable JavaScript in your browser.
Need help? Call 1-855-252-4222
What is included with this book?
Max C.Y. Wong is a specialist in the area of risk modeling and Basel III. He started his career as a derivatives consultant at Credit Suisse First Boston in 1996. During the Asian crisis in 1998 he traded index futures at the open-outcry floor of SIMEX (now SGX). From 2003 to 2011, he worked for Standard Chartered Bank as a risk manager and senior quant. He is currently head of VaR model testing at the Royal Bank of Scotland. He has published papers on VaR models and Basel capital, recently looking at innovative ways to model risk more effectively during crises and to deal with the issues of procyclicality and Black Swan event in our financial system. He has spoken on the subject at various conferences and seminars. He holds a B.Sc. Physics from University of Malaya (1994) and a M.Sc. financial engineering from National University of Singapore (2004). He is an adjunct at Singapore Management University, a member of the editorial board of the Journal of Risk Management in Financial Institutions, and a member of the steering committee of PRMIA Singapore chapter.
About the AuthorForewordPrefaceAcknowledgments
Part OneBackgroundChapter 1Introduction1.1 The Evolution of Riskometer1.2 Taleb’s Extremistan1.3 The Turner Procyclicality1.4 The Commonsense of Bubble Value-at-Risk (buVaR)Endnotes
Chapter 2Essential Mathematics2.1 Frequentist Statistics2.2 Just Assumptions2.3 Quantiles, VaR and Tails2.4 Correlation and Autocorrelation2.5 Regression Models and Residual Errors2.6 Significance Tests2.7 Measuring Volatility2.8 Markowitz Portfolio Theory2.9 Maximum Likelihood Method2.10 Cointegration2.11 Monte Carlo Method2.12 The Classical Decomposition2.13 Quantile Regression Model2.14 Spreadsheet ExercisesEndnotes
Part TwoValue at Risk MethodologyChapter 3Preprocessing3.1 System Architecture3.2 Risk Factor Mapping3.3 Risk Factor Proxies3.4 Scenario Generation3.5 Basic VaR SpecificationEndnotes
Chapter 4Conventional VaR Methods4.1 Parametric VaR4.2 Monte Carlo VaR4.3 Historical Simulation VaR4.4 Issue: Convexity, Optionality and Fat tails4.5 Issue: Hidden Correlation4.6 Issue: Missing Basis and Beta Approach4.7 Issue: The Real Risk of Premiums4.8 Spreadsheet ExercisesEndnotes
Chapter 5Advanced VaR Methods5.1 Hybrid Historical Simulation VaR5.2 Hull-White Volatility Updating VaR5.3 Conditional Autoregressive VaR (CAViaR)5.4 Extreme Value Theory VaR5.5 Spreadsheet ExercisesEndnotes
Chapter 6VaR Reporting6.1 VaR Aggregation and Limits6.2 Diversification6.3 VaR Analytical Tools6.4 Scaling and Basel Rules6.5 Spreadsheet ExercisesEndnotes
Chapter 7The Physics of Risk and Pseudoscience7.1 Entropy, Leverage effect and Skewness7.2 Volatility Clustering and the folly of i.i.d.7.3 “Volatility of volatility” and Fat-tails7.4 Extremistan and the Fourth quadrant7.5 Regime change, Lagging riskometer and Procyclicality7.6 Coherence and Expected shortfall7.7 Spreadsheet ExercisesEndnotes
Chapter 8Model Testing8.1 Precision Test8.2 Frequency Back Test8.3 Bunching Test8.4 Whole distribution test8.5 Spreadsheet ExercisesEndnotes
Chapter 9Practical Limitations of VaR9.1 Depegs and Changes to “Rules of the game”9.2 Data Integrity Problems9.3 Model RiskEndnotes
Chapter 10Other Major Risk Classes10.1 Credit Risk (and Creditmetrics)10.2 Liquidity Risk10.3 Operational risk10.4 The Problem of Aggregation10.5 Spreadsheet ExercisesEndnotes
Part ThreeThe Great Regulatory ReformChapter 11Regulatory Capital Reform11.1 Basel I and Basel II11.2 The Turner Review11.3 Revisions to Basel II Market Risk Framework (Basel 2.5)11.4 New Liquidity Framework11.5 The New Basel III11.6 New framework for Trading Book11.7 The Ideal Capital RegimeEndnotes
Chapter 12Systemic Risk Initiatives12.1 Soros’ Reflexivity, Endogenous Risks12.2 Crashmetrics12.3 New York Fed CoVaR12.4 The Austrian Model and BOE RAMSI12.5 The Global Systemic Risk Regulator12.6 Spreadsheet ExercisesEndnotes
Part FourIntroduction to Bubble Value-at-Risk (BuVaR)Chapter 13Market BuVaR13.1 Why an Alternative to VaR13.2 Classical Decomposition, New Interpretation13.3 Measuring the Bubble13.4 Calibration13.5 Implementing the Inflator13.6 Choosing the Best Tail Risk Measure13.7 Effect on Joint Distribution13.8 The Scope of BuVaR13.9 How Good is the BuVaR Buffer?13.10 The Brave New World13.11 Spreadsheet ExercisesEndnotes
Chapter 14Credit BuVaR14.1 The Credit Bubble VaR Idea14.2 Model Formulation14.3 Behavior of Response Function14.4 Characteristics of Credit BuVaR14.5 Interpretation of Credit BuVaR14.6 Spreadsheet ExercisesEndnotes
Chapter 15Acceptance Tests15.1 BuVaR Visual Checks15.2 BuVaR Event Timing Tests15.3 BuVaR Cyclicality Tests15.4 Credit BuVaR Parameter TuningEndnotes
Chapter 16Other Topics16.1 Diversification and Basis Risks16.2 Regulatory Reform and BuVaR16.3 BuVaR and the Banking Book. Response time as Risk.16.4 Can buVaR pick tops and bottoms perfectly?16.5 Post-modern Risk Management16.6 Spreadsheet ExercisesEndnote
Chapter 17Epilogue: Suggestions for Future ResearchEndnote
BibliographyIndex
The New copy of this book will include any supplemental materials advertised. Please check the title of the book to determine if it should include any access cards, study guides, lab manuals, CDs, etc.
The Used, Rental and eBook copies of this book are not guaranteed to include any supplemental materials. Typically, only the book itself is included. This is true even if the title states it includes any access cards, study guides, lab manuals, CDs, etc.