By Moorad Choudhry,Carol Alexander
The value-at-risk dimension method is a widely-used software in monetary industry threat administration. The 5th variation of Professor Moorad Choudhry’s benchmark reference textual content An advent to Value-at-Risk deals an available and reader-friendly examine the concept that of VaR and its diversified estimation equipment, and is aimed in particular at newbies to the marketplace or these strange with smooth chance administration practices. the writer capitalises on his event within the monetary markets to provide this concise but in-depth insurance of VaR, set within the context of threat administration as a whole.
Topics coated include:
- Defining value-at-risk
- Variance-covariance methodology
- Portfolio VaR
- Credit threat and credits VaR
- Stressed VaR
- Critique and VaR in the course of crisis
Topics are illustrated with Bloomberg monitors, labored examples and workouts. comparable concerns equivalent to statistics, volatility and correlation also are brought as worthwhile historical past for college students and practitioners. this can be crucial analyzing for all those that require an creation to monetary industry threat administration and hazard size techniques.
Foreword by means of Carol Alexander, Professor of Finance, collage of Sussex.
Read Online or Download An Introduction to Value-at-Risk (Securities Institute) PDF
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