An Introduction to Value at Risk 4e (Securities Institute) - Softcover

Choudhry, Moorad

  • 4.00 out of 5 stars
    7 ratings by Goodreads
 
9780470017579: An Introduction to Value at Risk 4e (Securities Institute)
Softcover
ISBN 10: 0470017570 ISBN 13: 9780470017579
Publisher: John Wiley &Sons, 2006

Synopsis

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.

From the Back Cover

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.

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

Publisher
John Wiley &Sons
Publication date
2006
Language
English
ISBN 10 
0470017570
ISBN 13 
9780470017579
Binding
Paperback
Edition number
4
Number of pages
194
Rating
  • 4.00 out of 5 stars
    7 ratings by Goodreads

Other Popular Editions of the Same Title

9781843070351: An Introduction to Value-at-risk

Featured Edition

ISBN 10:  1843070359 ISBN 13:  9781843070351
Publisher: Securities Institute ltd
Softcover