An Introduction to Value at Risk 4e - Brossura

Choudhry, Moorad

 
9780470017579: An Introduction to Value at Risk 4e
Brossura
ISBN 10: 0470017570 ISBN 13: 9780470017579
Casa editrice: John Wiley &Sons, 2006

Sinossi

The value-at-risk measurement methodology is a widely-used tool in financial market risk management. The fourth 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
  • Monte Carlo simulation
  • Portfolio VaR
  • Credit risk and credit VaR

Topics are illustrated with Bloomberg screens, worked examples, exercises and case studies. 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 value-at-risk.

Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

Informazioni sull?autore

Dr. Moorad Choudhry is Head of Treasury at KBC Financial Products in London. He is a Visiting Professor at the Department of Economics, London Metropolitan University, a Visiting Research Fellow at the ICMA Centre, University of Reading, a Senior Fellow at the Centre for Mathematical Trading and Finance, Cass Business School, and a Fellow of the Securities and Investment Institute.

Dalla quarta di copertina

The value-at-risk measurement methodology is a widely-used tool in financial market risk management. The fourth 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
  • Monte Carlo simulation
  • Portfolio VaR
  • Credit risk and credit VaR

Topics are illustrated with Bloomberg screens, worked examples, exercises and case studies. 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 value-at-risk.

Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.

Editore
John Wiley &Sons
Data di pubblicazione
2006
Lingua
Inglese
ISBN 10 
0470017570
ISBN 13 
9780470017579
Rilegatura
Copertina flessibile
Numero edizione
4
Numero di pagine
194
Contatto del produttore
non disponibile
Persona responsabile
non disponibile

Altre edizioni note dello stesso titolo

9781843070351: An Introduction to Value-at-Risk

Edizione in evidenza

ISBN 10:  1843070359 ISBN 13:  9781843070351
Casa editrice: Securities Institute ltd, 2002
Brossura