By Moorad Choudhry,Carol Alexander
The value-at-risk size technique is a widely-used software in monetary industry danger administration. The 5th version of Professor Moorad Choudhry’s benchmark reference textual content An creation to Value-at-Risk bargains an obtainable and reader-friendly examine the idea that of VaR and its varied estimation tools, and is aimed in particular at rookies to the marketplace or these strange with glossy threat administration practices. the writer capitalises on his event within the monetary markets to provide this concise but in-depth assurance 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 chance and credits VaR
- Stressed VaR
- Critique and VaR in the course of crisis
Topics are illustrated with Bloomberg monitors, labored examples and workouts. comparable matters similar to records, volatility and correlation also are brought as worthwhile historical past for college students and practitioners. this can be crucial interpreting for all those that require an advent to monetary industry possibility administration and hazard dimension techniques.
Foreword by means of Carol Alexander, Professor of Finance, collage of Sussex.
Read or Download An Introduction to Value-at-Risk (Securities Institute) PDF
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Extra resources for An Introduction to Value-at-Risk (Securities Institute)
An Introduction to Value-at-Risk (Securities Institute) by Moorad Choudhry,Carol Alexander