The Project VaR: From Theory to Real-World Implementation
Penulis: Armand Omar Moeis, Surya Marthen, Anastasia Arkania Satyawan
ISBN: –
Tahun Terbit: 2026
Halaman: xiv, 102 hlm
Ukuran: 15 cm x 23 cm
Sinopsis:
From Theory to Real-World Implementation
Sooner or later, every model breaks. The bell curve frays at the edges. The correlations that held for a decade dissolve in a week. The Monte Carlo engine runs flawlessly and produces a number nobody in the room knows how to use.
This book is written for that moment.
|For too long, the classroom and the trading floor have spoken different dialects of the same language. The Project VaR bridges them. It teaches you to build a Value at Risk number from first principles, stress it until it breaks, and just as importantly explain it to the people who have to act on it.
You’ll work through the three core methodologies starting from Parametric, Historical Simulation, and Monte Carlo that are then put them to work on real portfolios and real projects drawn from energy, infrastructure, and shipping: a multi-asset fund caught in a correlation shock, a 145 MW floating solar plant, a grid-scale battery investment, a small-hydro valuation, and the ownership case for a product tanker. Every method is implemented twice — once in Excel, once in Python — so you can trace the logic by hand before you scale it in code. And it carries you past VaR itself, into backtesting, Expected Shortfall, stress testing, and the black swans no model sees coming.
This is not a book of crystal balls. It is a compass for thinking clearly about uncertainty.
Inside, you will learn to:
• Calculate VaR three ways — and judge which to trust, and when
• Turn a portfolio into a covariance matrix, and an S-curve into a boardroom decision
• Model Cost-at-Risk, Cash-Flow-at-Risk, and NPV-at-Risk for capital projects
• Validate a model against reality with the Kupiec test and the Basel traffic-light system
• Move from a spreadsheet to production-grade Python
