By Moorad Choudhry,Carol Alexander
The value-at-risk size technique is a widely-used instrument in monetary marketplace probability 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 concept that of VaR and its diverse estimation equipment, and is aimed particularly at rookies to the industry or these surprising with sleek hazard 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 possibility and credits VaR
- Stressed VaR
- Critique and VaR in the course of crisis
Topics are illustrated with Bloomberg monitors, labored examples and routines. similar matters corresponding to facts, volatility and correlation also are brought as valuable historical past for college students and practitioners. this is often crucial interpreting for all those that require an creation to monetary marketplace chance administration and hazard dimension techniques.
Foreword by way of Carol Alexander, Professor of Finance, college of Sussex.
Read or Download An Introduction to Value-at-Risk (Securities Institute) PDF
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