An Introduction to Value at Risk 4e (Securities Institute)

Choudhry, Moorad

ISBN 10: 0470017570 / ISBN 13: 9780470017579

Editore: John Wiley &Sons, 2006

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The book is in good condition with all pages and cover intact, including the dust jacket if originally issued. The spine may show light wear. Pages may contain some notes or highlighting, and there might be a "From the library of" label. Boxed set packaging, shrink wrap, or included media like CDs may be missing.

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Dati bibliografici

• Titolo: An Introduction to Value at Risk 4e (Securities Institute)
• Editore: John Wiley &Sons
• Data di pubblicazione: 2006
• Lingua: Inglese
• ISBN 10: 0470017570
• ISBN 13: 9780470017579
• Rilegatura: Brossura
• Edizione: quarta edizione
• Condizione: good

Descrizione articolo

Riassunto

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.

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.