Introduction to Value-at-Risk

ISBN-10
190052063X
ISBN-13
9781900520638
Category
Financial futures
Pages
176
Language
English
Published
2000-06
Author
Moorad Choudhry

Description

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-riskVariance-covariance methodologyMonte Carlo simulationPortfolio VaRCredit 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.

Get the book

Amazon.com
Amazon.com
Search the book
eBay.com
eBay.com
Search the book

Similar books