Book description
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
