Moorad Choudhry,Carol Alexander's An Introduction to Value-at-Risk (Securities Institute) PDF

By Moorad Choudhry,Carol Alexander

ISBN-10: 111831672X

ISBN-13: 9781118316726

The value-at-risk size technique is a widely-used software in monetary industry possibility administration. The 5th variation of Professor Moorad Choudhry’s benchmark reference textual content An advent to Value-at-Risk bargains an available and reader-friendly examine the idea that of VaR and its diverse estimation equipment, and is aimed in particular at rookies to the marketplace or these strange with glossy chance administration practices. the writer capitalises on his adventure within the monetary markets to offer 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 probability and credits VaR
  • Stressed VaR
  • Critique and VaR in the course of crisis

Topics are illustrated with Bloomberg displays, labored examples and workouts. comparable matters reminiscent of facts, volatility and correlation also are brought as important heritage for college students and practitioners. this can be crucial examining for all those that require an advent to monetary marketplace hazard administration and chance dimension techniques.

Foreword by means of Carol Alexander, Professor of Finance, college of Sussex.

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An Introduction to Value-at-Risk (Securities Institute) by Moorad Choudhry,Carol Alexander

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