An Introduction to Value at Risk

Moorad Choudhry - Collection Security Investment Institute

172 pages, parution le 01/04/2006 (4^eme édition)

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Résumé

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.

L'auteur - Moorad Choudhry

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 Department of Mathematical Trading and Finance, Cass Business School, and a Fellow of the Securities and Investment Institute.

Sommaire

Preface
Risk management
Volatility and correlation
VaR
VaR and fixed interest instruments
Options: risk and value-at-risk
Monte Carlo VaR
Stress testing, legal and regulatory issues
Credit VaR
Exercises and case study
Appendix
Bibliography
Index

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Wiley
Auteur(s)	Moorad Choudhry
Collection	Security Investment Institute
Parution	01/04/2006
Édition	4^eme édition
Nb. de pages	172
Format	15 x 23
Couverture	Broché
Poids	288g
Intérieur	Noir et Blanc
EAN13	9780470017579
ISBN13	978-0-470-01757-9