An Introduction to Value-at-Risk (4th Edition) (The Securities and Investment Institute)

Choudhry, M

ISBN 10: 0470017570 / ISBN 13: 9780470017579

Published by John Wiley &Sons, 2007

About this Item

This is an ex-library book and may have the usual library/used-book markings inside.This book has soft covers. Clean from markings. In fair condition, suitable as a study copy. Library sticker on front cover. Please note the Image in this listing is a stock photo and may not match the covers of the actual item,400grams, ISBN:9780470017579.

Seller Inventory # 9195786

Bibliographic Details

• Title: An Introduction to Value-at-Risk (4th Edition) (The Securities and Investment Institute)
• Publisher: John Wiley &Sons
• Publication Date: 2007
• Language: English
• ISBN 10: 0470017570
• ISBN 13: 9780470017579
• Binding: Soft cover
• Edition: 4th Edition
• Condition: Fair
• Weight: 400 grams
• Seller catalogs:
  • Economics

About this title

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.

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.