{"product_id":"value-at-risk-theory-and-practice","title":"Value at Risk: Theory and Practice","description":"\u003cp\u003eValue-at-risk (VaR) is a measure of market risk that has been widely adopted since the mid-1990s for use on trading floors. This is the first advanced book published on VaR. It describes how to design  implement  and use scalable production VaR measures on actual trading floors. It takes readers from the basics of VaR to the most advanced techniques  many of which have never been published in book form.  Practical  detailed examples are drawn from markets around the world  including: Euro deposits  Pacific Basin equities  physical coffees  and North American natural gas.  Real-world challenges relating to market data  portfolio mappings  multicollinearity  and intra-horizon events are addressed in detail. Exercises reinforce concepts and walk readers step-by-step through computations.  Sophisticated techniques are fully disclosed  including: quadratic (\"delta-gamma\") methods for nonlinear portfolios  variance reduction (control variates and stratified sampling) for Monte Carlo VaR measures  principal component remappings  techniques to \"fix\" estimated covariance matrices that are not positive-definite  the Cornish-Fisher expansion  and orthogonal GARCH.   First advanced text on Value-at-Risk  Practical  detailed examples drawn from markets around the world  Exercises reinforce concepts and walk readers step-by-step through computations\u003c\/p\u003e","brand":"My Store","offers":[{"title":"Default Title","offer_id":44957482713141,"sku":"ByrdShop_0123540100","price":90.97,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0627\/8139\/0901\/files\/9780123540102.jpg?v=1770328433","url":"https:\/\/atxbooks.com\/products\/value-at-risk-theory-and-practice","provider":"ATX Books","version":"1.0","type":"link"}