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An Introduction to Value-at-Risk

An Introduction to Value-at-Risk 
Author(s)  

Publisher  John Wiley and Sons, Inc.
Publication year  2007
Language  en
Edition  4
Imprint  Wiley
Series  Securities Institute
Page amount  192 pages
Category  Finance
Format  Ebook
License Format Price  
Permanent PDF with Adobe DRM 40.90 €  Add to cart >
 
DRM Restrictions
Printing  58 pages with an additional page accrued every 13 hours, capped at 58 pages
Copy to clipboard  10 excerpts
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.

 
We do not deliver the extra material sometimes included in printed books (CDs or DVDs).


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