An Introduction to Value-at-Risk
Aus der Reihe
Securities and Investment Institute
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- Taschenbuch
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Form:Einzelkauf Download
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Sprache:Englisch
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eBook Format:PDF
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43,99 €
inkl. gesetzl. MwSt.Beschreibung
Produktdetails
Format
Kopierschutz
Ja
Family Sharing
Nein
Text-to-Speech
Nein
Erscheinungsdatum
16.04.2013
Verlag
Wiley-ScrivenerSeitenzahl
224 (Printausgabe)
Dateigröße
4760 KB
Auflage
1. Auflage
Sprache
Englisch
EAN
9781118316702
The value-at-risk measurement methodology is a widely-used tool
in financial market risk management. The fifth edition of Professor
Moorad Choudhry's benchmark reference text An Introduction
to Value-at-Risk offers an accessible and reader-friendly look
at the concept of VaR and its different estimation methods, and is
aimed specifically at newcomers to the market or those unfamiliar
with modern risk management practices. The author capitalises on
his experience in the financial markets to present this concise yet
in-depth coverage of VaR, set in the context of risk management as
a whole.
Topics covered include:
* Defining value-at-risk
* Variance-covariance methodology
* Portfolio VaR
* Credit risk and credit VaR
* Stressed VaR
* Critique and VaR during crisis
Topics are illustrated with Bloomberg screens, worked examples
and exercises. Related issues such as statistics, volatility and
correlation are also introduced as necessary background for
students and practitioners. This is essential reading for all those
who require an introduction to financial market risk management and
risk measurement techniques.
Foreword by Carol Alexander, Professor of Finance, University of
Sussex.
in financial market risk management. The fifth edition of Professor
Moorad Choudhry's benchmark reference text An Introduction
to Value-at-Risk offers an accessible and reader-friendly look
at the concept of VaR and its different estimation methods, and is
aimed specifically at newcomers to the market or those unfamiliar
with modern risk management practices. The author capitalises on
his experience in the financial markets to present this concise yet
in-depth coverage of VaR, set in the context of risk management as
a whole.
Topics covered include:
* Defining value-at-risk
* Variance-covariance methodology
* Portfolio VaR
* Credit risk and credit VaR
* Stressed VaR
* Critique and VaR during crisis
Topics are illustrated with Bloomberg screens, worked examples
and exercises. Related issues such as statistics, volatility and
correlation are also introduced as necessary background for
students and practitioners. This is essential reading for all those
who require an introduction to financial market risk management and
risk measurement techniques.
Foreword by Carol Alexander, Professor of Finance, University of
Sussex.
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