Download e-book for iPad: An Introduction to Value-at-Risk (Securities Institute) by Moorad Choudhry,Carol Alexander

By Moorad Choudhry,Carol Alexander

ISBN-10: 111831672X

ISBN-13: 9781118316726

The value-at-risk dimension method is a widely-used instrument in monetary industry danger administration. The 5th version of Professor Moorad Choudhry’s benchmark reference textual content An advent to Value-at-Risk deals an available and reader-friendly examine the idea that of VaR and its diverse estimation equipment, and is aimed particularly at newbies to the marketplace or these surprising with sleek chance 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 possibility and credits VaR
  • Stressed VaR
  • Critique and VaR in the course of crisis

Topics are illustrated with Bloomberg monitors, labored examples and routines. comparable concerns similar to information, volatility and correlation also are brought as valuable heritage for college kids and practitioners. this can be crucial examining for all those that require an creation to monetary industry threat administration and probability dimension techniques.

Foreword via Carol Alexander, Professor of Finance, collage of Sussex.

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

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