Value at risk and Commercial finance Guide - Finance Review

Hedging with VaR
A brief article on the implementation of a hedging strategy using value at risk; written by Alvin Kuruc and Bernard Lee at Infinity, a SunGard Company.
 
Stressing Out
An article by Carol Bere, which argues that value at risk and stress testing, while not ideal, are the best available tools to manage derivatives risk.
 
A Comparison of Value at Risk Approaches and Their Implications for Regulators
A working paper by Gabriela de Raaji and Burkhard Raunig of the Oesterreichische Nationalbank.
 
Value at Risk and Derivatives Risk
A working paper by Eric Falkenstein, which argues that operational risk is much more important to derivatives trading operations, although value at risk does have a role in the risk management process.
 
Something to Show for VAR
An explanation of implementing value at risk, using foreign exchange hedging as an example.
 
Approximation of Profit-and-Loss Distributions: Part 2 of 2
Analysis of weaknesses in the traditional value at risk models.
 
Non-Linear Value at Risk
Information on the improvement of linear value at risk (VaR) models to incorporate portfolios.
 
From Risk Measurement to Risk Management with FEA VaRworks
Manual on Monte Carlo simulation, variance-covariance VaR theory and extreme value theory written by Carlos Blanco of Financial Engineering Associates.
 
The Extreme Value Approach to VaR (Part 2 of 4)
Part two in a series of articles concerning the application of extreme value theory to value at risk (VaR).
 
Value at Risk and Maximum Loss Optimization
Adjustment to the traditional value at risk model by G. Studer of ETH-Zurich.
 
Taking VAR to Pieces
Analysis of component value at risk (CVaR).
 
Value at Risk Analysis of a Leveraged Swap
A working paper by Sanjay Srivastave that examines whether value at risk would have warned of impending danger in the Procter & Gamble interest rate swap losses of 1993-1994.
 
Analytical Value-At-Risk with Jumps and Credit Risk
A working paper by Darrell Duffie and Jun Pan of the Graduate School of Business at Stanford Unidversity.
 
How Good is Your VaR? Using Backtesting to Assess System Performance
Article by Carlos Blanco and Geoffrey Ihle describing the use of backtesting to evaluate VAR system performance.
 
Estimating Value at Risk With a Precision Measure By Combining Kernel Estimation With Historical Simulation
A 1997 working paper by J.S. Butler and Barry Scha.chter
 
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