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Bubble Value-At-Risk Revised 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 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 frequentiststatistics-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- we mistake the tree for the forest. The book argues that we need to unlearn our existing "science" of risk measurement and discover more robust ways to manage risks and to

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Descriptions 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 wellestablished risk metric. In this book, the author introduces VaR by looking at its failures 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- we mistake the tree for the forest. The book argues that we need to unlearn our existing "science" of risk measurement and discover more robust ways to manage risks and to


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Author : Max C.Y. Wong Pages : 346 pages Publisher : Wiley Language : ISBN-10 : 111855034X ISBN-13 : 9781118550342 ●


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