An Introduction to Value-at-Risk, Fifth Edition (Securities Institute) - Tapa blanda

Choudhry, Moorad

 
9781118316726: An Introduction to Value-at-Risk, Fifth Edition (Securities Institute)
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ISBN 10: 111831672X ISBN 13: 9781118316726
Editorial: Wiley-CISI, 2013

Sinopsis

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.

"Sinopsis" puede pertenecer a otra edición de este libro.

Acerca del autor

Moorad Choudhry is an MD in Group Treasury at The Royal Bank of Scotland. He is Visiting Professor at the Department of Mathematical Sciences, Brunel University, Visiting Professor at the IFS-School of Finance, Visiting Teaching Fellow at the Department of Management, Birkbeck, University of London, Vice-Chair of the Board of Directors of PRMIA, and Fellow of the Chartered Institute for Securities & Investment.

De la contraportada

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.
Coverage includes:

  • Defining value-at-risk
  • Variance-covariance methodology
  • Portfolio VaR
  • Credit risk and credit VaR
  • Stressed VaR
  • Credit valuation adjustment VaR
  • VaR during crisis and the way forward
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 student and practitioners. This is essential reading for all those who require an introduction to financial market risk management and risk measurement techniques.

"Sobre este título" puede pertenecer a otra edición de este libro.

Editorial
Wiley-CISI
Año de publicación
2013
Idioma
Inglés
ISBN 10 
111831672X
ISBN 13 
9781118316726
Encuadernación
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Número de edición
5
Número de páginas
226
Contacto del fabricante
no disponible
Persona responsable
no disponible

Otras ediciones populares con el mismo título

9781900520638: An Introduction to Value-at-Risk

Edición Destacada

ISBN 10:  190052063X ISBN 13:  9781900520638
Editorial: Securities Institute ltd, 2000
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