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Choudhry, Moorad

An Introduction to Value-at-Risk

Choudhry, Moorad - An Introduction to Value-at-Risk, ebook

59,50€

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ISBN: 9781118316696
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Printing67 pages with an additional page accrued every 11 hours, capped at 67 pages
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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.

Keywords: Introductory Finance, value at risk, VaR, financial market risk, risk management, risk charge calculation, Basel III, capital analysis, financial markets, choudhry

Author(s)
Publisher
John Wiley and Sons, Inc.
Publication year
2013
Language
en
Edition
5
Series
Securities Institute
Page amount
224 pages
Category
Economy
Format
Ebook
eISBN (ePUB)
9781118316696
Printed ISBN
9781118316726

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