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

By Moorad Choudhry,Carol Alexander

The value-at-risk dimension technique is a widely-used software in monetary marketplace danger 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 varied estimation equipment, and is aimed in particular at beginners to the marketplace or these unexpected with smooth possibility administration practices. the writer capitalises on his adventure within the monetary markets to give this concise but in-depth insurance of VaR, set within the context of possibility administration as a whole.

Topics coated 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 monitors, labored examples and workouts. comparable concerns similar to facts, volatility and correlation also are brought as helpful history for college kids and practitioners. this is often crucial interpreting for all those that require an advent to monetary marketplace danger administration and probability 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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