Items related to An Introduction to Value at Risk (Griffin Guides)

An Introduction to Value at Risk (Griffin Guides) - Softcover

 
9781900520669: An Introduction to Value at Risk (Griffin Guides)
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The value–at–risk measurement methodology is a widely–used tool in financial market risk management. The fourth 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
  • Monte Carlo simulation
  • Portfolio VaR
  • Credit risk and credit VaR

Topics are illustrated with Bloomberg screens, worked examples, exercises and case studies. 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 value–at–risk.

"synopsis" may belong to another edition of this title.

About the Author:
Dr. Moorad Choudhry is Head of Treasury at KBC Financial Products in London. He is a Visiting Professor at the Department of Economics, London Metropolitan University, a Visiting Research Fellow at the ICMA Centre, University of Reading, a Senior Fellow at the Centre for Mathematical Trading and Finance, Cass Business School, and a Fellow of the Securities and Investment Institute.
Synopsis:
This introduction to value-at-risk (VaR) is written for those new to the concepts of risk management and VaR. Topics include applications of VaR, instrument structures, stress testing, VaR for corporates, credit risk and legal/regulatory issues.

"About this title" may belong to another edition of this title.

  • PublisherSecurities Institute ltd
  • Publication date1999
  • ISBN 10 1900520664
  • ISBN 13 9781900520669
  • BindingPaperback
  • Number of pages150

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9781900520638: An Introduction to Value-at-Risk

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ISBN 10:  ISBN 13:  9781900520638
Publisher: Securities Institute ltd, 2000
Softcover

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