The VAR Implementation Handbook
Table of Contents

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1. Efficient VaR
2. Corporate VaR
3. Operational Value-at-Risk
4. VaR Performance Criterion (VPC)
5. Cross-Sectional Differences
6. Advanced Approaches to Calculation
7. Computational Aspects of VaR
8. Bayesian Tail Probabilities
9. Modeling Portfolio Risks
10. Computation of Economic Capital
11. High-Dimensional Portfolios
12. Measuring Portfolio Risks in Venture Capital
13. Evaluation of Sectors Traded on the ISE with VaR Analysis
14. Risk Measures in Portfolio Optimization
15. Modeling Parameter Uncertainty
16. Employing VaR Management Systems
17. Aggregating and Combining Ratings
18. A Critique of Value-at-Risk Models
19. Credit Derivatives
20. Modeling risk in VAR Estimates
21. Heterogeneous Investments Horizons
22. How Investors Face Financial Risk Loss Aversion and Wealth Allocation
23. Dynamical Models for the Value at Risk