Bubble Value at Risk: A Countercyclical Risk Management Approach - Rilegato

Wong, Max C. Y.

Rilegato

ISBN 10: 111855034X ISBN 13: 9781118550342

Casa editrice: John Wiley & Sons Inc, 2013

Riassunto

Introduces a powerful new approach to financial risk modeling with proven strategies for its real-world applications

The 2008 credit crisis did much to debunk the much touted powers of Value at Risk (VaR) as a risk metric. Unlike most authors on VaR who focus on what it can do, in this book the author looks at what it cannot. In clear, accessible prose, finance practitioners, Max Wong, describes the VaR measure and what it was meant to do, then explores its various failures in the real world of crisis risk management. More importantly, he lays out a revolutionary new method of measuring risks, Bubble Value at Risk, that is countercyclical and offers a well-tested buffer against market crashes.

• Describes Bubble VaR, a more macro-prudential risk measure proven to avoid the limitations of VaR and by providing a more accurate risk exposure estimation over market cycles
• Makes a strong case that analysts and risk managers need to unlearn our existing "science" of risk measurement and discover more robust approaches to calculating risk capital
• Illustrates every key concept or formula with an abundance of practical, numerical examples, most of them provided in interactive Excel spreadsheets
• Features numerous real-world applications, throughout, based on the author’s firsthand experience as a veteran financial risk analyst

Su questo libro

Informazioni sull?autore

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.

Dalla quarta di copertina

"Bubble Value at Risk offers a critical rethinking of some of the deficiencies in the calculation of risk capital. I particularly liked the more applied wisdom scattered throughout the text. Here is a practitioner explaining how things really work, or for that matter, don't work in the real world. These remarks will definitely open the eyes of the more academic researcher."
—Paul Embrechts, Director of RiskLab, ETH Zurich

"Reading Bubble Value at Risk is an intensive master class in risk management. As a busy risk management practitioner, I found Bubble Value at Risk extremely worthwhile in that Wong, with the theoretic detail of an academic but with the intuition of a practitioner, very efficiently surveys the evolution of financial risk management thought since the credit crisis. The book is well written, organized, thought-provoking, and to the point. After constructively critiquing pre-crisis risk management for its conceit that it could precisely model extreme events, Wong pragmatically breaks with risk dogma and introduces the concept of Bubble Value at Risk as a more prudent means of allocating sufficient capital to buffer tail risk in light of the fact that tail risk is inherently unknowable. The book is simply a very good use of time for anyone fighting the guerrilla war with risk."
—David P. Belmont, CFA and Chief Risk Officer, Commonfund

"John Maynard Keynes is famous for many things, including this quote on bankers: 'A sound banker, alas, is not one who foresees danger and avoids it, but one who, when he is ruined, is ruined in a conventional way along with his fellows, so that no one can really blame him.' This quote, originally found in The Consequences to the Banks of the Collapse of Money Values (1931), describes very accurately the robotic use of the Value at Risk concept at many financial institutions. Max Wong skewers the conventional wisdom on Value at Risk in this original book from a very talented and experienced market participant. Mr. Wong illustrates the mathematical problems with Value at Risk with many worked examples and insights from the 2007-2011 credit crisis. He suggests an alternative to the conventional wisdom, ' Bubble Value at Risk,' which addresses many of the shortcomings in conventional VaR calculations that were starkly revealed during the credit crisis. We highly recommend this candid and enlightening book to any risk analyst who finds himself surrounded by a large contingent of 'sound bankers.'"
—Donald R. van Deventer, PhD, Chairman and Chief Executive Officer, Kamakura Corporation (www.kamakuraco.com), and coauthor of Advanced Financial Risk Management, 2nd Edition

"Wong establishes his reputation as an inventive risk manager with the innovative idea to express expected shortfall (also called expected tail loss, or conditional VaR) in terms of previous price levels. This book also has some interesting ideas on financial regulatory reform and should be attractive to non-quant readers seeking knowledge of the pitfalls of Value at Risk, as it is usually measured."
— Professor Carol Alexander, Subject Lead, Finance and Accounting, School of Business, Management and Economics, University of Sussex

Dal risvolto di copertina interno

Most 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 — mistaking the trees for the forest. The book argues that we need to unlearn our existing "science" of risk measurement and discover more robust ways of managing risk and calculating 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.

Dettagli dell'edizione

• Editore: John Wiley & Sons Inc
• Data di pubblicazione: 2013
• Lingua: Inglese
• ISBN 10: 111855034X
• ISBN 13: 9781118550342
• Rilegatura: Copertina rigida
• Numero di pagine: 346
• Contatto del produttore: non disponibile
• Persona responsabile: non disponibile