Bubble Value at Risk: A Countercyclical Risk Management Approach, Revised Edition

Contents

About the Author

Foreword

Preface

Acknowledgments

Part One: Background

Chapter 1: Introduction

1.1 The Evolution of Riskometer

1.2 Taleb’s Extremistan

1.3 The Turner Procyclicality

1.4 The Common Sense of Bubble Value-at-Risk (BuVaR)

Notes

Chapter 2: Essential Mathematics

2.1 Frequentist Statistics

2.2 Just Assumptions

2.3 Quantiles, VaR, and Tails

2.4 Correlation and Autocorrelation

2.5 Regression Models and Residual Errors

2.6 Significance Tests

2.7 Measuring Volatility

2.8 Markowitz Portfolio Theory

2.9 Maximum Likelihood Method

2.10 Cointegration

2.11 Monte Carlo Method

2.12 The Classical Decomposition

2.13 Quantile Regression Model

2.14 Spreadsheet Exercises

Notes

Part Two: Value at Risk Methodology

Chapter 3: Preprocessing

3.1 System Architecture

3.2 Risk Factor Mapping

3.3 Risk Factor Proxies

3.4 Scenario Generation

3.5 Basic VaR Specification

Notes

Chapter 4: Conventional VaR Methods

4.1 Parametric VaR

4.2 Monte Carlo VaR

4.3 Historical Simulation VaR

4.4 Issue: Convexity, Optionality, and Fat Tails

4.5 Issue: Hidden Correlation

4.6 Issue: Missing Basis and Beta Approach

4.7 Issue: The Real Risk of Premiums

4.8 Spreadsheet Exercises

Notes

Chapter 5: Advanced VaR Methods

5.1 Hybrid Historical Simulation VaR

5.2 Hull-White Volatility Updating VaR

5.3 Conditional Autoregressive VaR (CAViaR)

5.4 Extreme Value Theory VaR

5.5 Spreadsheet Exercises

Notes

Chapter 6: VaR Reporting

6.1 VaR Aggregation and Limits

6.2 Diversification

6.3 VaR Analytical Tools

6.4 Scaling and ...