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John Wiley and Sons Ltd Measuring Market Risk With Value At Risk by PENZA P
"This book "Measuring Market Risk with Value at Risk" by Vipul Bansal and Pietro Penza has three advantages over earlier works on the subject. First it takes a decidedly global approach - an essential ingredient for any comprehensive work on market risk. Second it ties the scientifically grounded yet intuitively appealing VaR measure to earlier more idiosyncratic measures of market risk that are used in specific market environs (e.g. duration in fixed income). Finally it encompasses all of the accepted approaches to calculating a VaR measure and presents them in a clearly explained fashion with supporting illustrations and completely worked-out examples." - from the Foreword by John F. Marshall PhD Principal Marshall Tucker & Associates LLC. "Measuring Market Risk with Value at Risk" offers a much-needed intellectual bridge a translation from the esoteric realm of mathematical finance to the domain of financial managers who seek guidance in applying developments from this important field of research as well as that of MBA-level graduate instruction.I believe the authors have done a commendable job of providing a carefully crafted highly readable and most useful work and intend to recommend it to all those involved in business risk management applications." - Anthony F. Herbst PhD Professor of Finance and C.R. and D.S. Carter Chair The University of Texas El Paso and Founding editor of "The Journal of Financial Engineering" (1991-1998). "Finally theres a book that strikes a balance between rigor and application in the area of risk management in the banking industry. This innovative book is a must for both novices and professionals alike." - Robert P. Yuyuenyongwatana PhD Associate Professor of Finance Cameron University. ""Measuring Market Risk with Value at Risk" is one of the most complete discussions of this emerging topic in finance that I have seen. The authors develop a logical and rigorous framework for using VaR models providing both historical references and analytical applications." - Kevin Wynne PhD Associate Professor of Finance Lubin School of Business Pace University.show more