By Moorad Choudhry,Carol Alexander
The value-at-risk dimension technique is a widely-used device in monetary industry chance administration. The 5th variation of Professor Moorad Choudhry’s benchmark reference textual content An creation to Value-at-Risk deals an obtainable and reader-friendly examine the concept that of VaR and its various estimation tools, and is aimed particularly at rookies to the marketplace or these strange with glossy probability 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 threat administration as a whole.
Topics lined include:
- Defining value-at-risk
- Variance-covariance methodology
- Portfolio VaR
- Credit probability and credits VaR
- Stressed VaR
- Critique and VaR in the course of crisis
Topics are illustrated with Bloomberg displays, labored examples and routines. similar matters comparable to facts, volatility and correlation also are brought as useful historical past for college students and practitioners. this can be crucial examining for all those that require an creation to monetary marketplace chance administration and chance size techniques.
Foreword by means of Carol Alexander, Professor of Finance, college of Sussex.
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Extra resources for An Introduction to Value-at-Risk (Securities Institute)
An Introduction to Value-at-Risk (Securities Institute) by Moorad Choudhry,Carol Alexander