New book: Bubble Value-at-risk: Extremistan & Procyclicality

[maxwong]

Dear readers,

A new book "Bubble Value-at-risk: Extremistan & Procyclicality" has just been published and is now available on Amazon.

This book discusses the failure of risk management models during crisis periods, and proposes a way to robustify the VAR metric. The new model called Buvar is shown to buffer against fat-tailed events and is countercyclical, but deals primarily with trading/ market risks. The buvar idea will be published in a journal in Aug. More information on the book and downloable papers are available at:

www.bubble-value-at-risk.com

I look forward to your support and welcome any comments you may have on this work.

 

[Tsotne]

Really interesting. I will get that book definitely since I have learned Phillipe Jorion's VAR and I'm not too satisfied with it. The concepts are not explained fully. There are many doubts that that is just the collection of some articles or something. Very short and incomplete information given. Bubble VaR looks interesting. Thanks for the news maxwong.

 

[Tsotne]

One Question, will it be published by a big publisher so that there is a chance for a translation or is it printed and published by privates?

Publisher: IMMANUEL CONSULTING PTE. LTD.
Language: ENGLISH

I don't think it will be translated.

 

[maxwong]

Dear all,
My book review is available here:
http://www.amazon.com/Bubble-Value-...dp_top_cm_cr_acr_txt?ie=UTF8&showViewpoints=1

 

[alain]

would you donate a copy to Quantnet? or to the MFE program?

Also, could you make it visible under Amazon preview?

 

[Tsotne]

I got the book. Looks really interesting. Haven't read it yet though but I hope I won't need to search for tons of articles outside...(as in the previous book I mentioned)

 

[maxwong]

dear readers,
Thanks for your support. A published article on BuVaR and the slide presso are now available at: http://www.bubble-value-at-risk.com/buvar_countercyclical_capital_buffer.html