By Moorad Choudhry,Carol Alexander
The value-at-risk size method is a widely-used instrument in monetary marketplace possibility administration. The 5th variation 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 various estimation equipment, and is aimed in particular at newbies to the industry or these unexpected with smooth threat administration practices. the writer capitalises on his event within the monetary markets to offer this concise but in-depth insurance of VaR, set within the context of probability administration as a whole.
Topics lined 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 displays, labored examples and workouts. similar matters similar to facts, volatility and correlation also are brought as worthy history for college students and practitioners. this can be crucial analyzing for all those that require an advent to monetary industry chance administration and hazard size techniques.
Foreword by means of Carol Alexander, Professor of Finance, collage of Sussex.
Read Online or Download An Introduction to Value-at-Risk (Securities Institute) PDF
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Additional info for An Introduction to Value-at-Risk (Securities Institute)
An Introduction to Value-at-Risk (Securities Institute) by Moorad Choudhry,Carol Alexander