Download E-books An Introduction to Value-at-Risk PDF

By Moorad Choudhry

The value-at-risk size technique is a widely-used instrument in monetary marketplace danger administration. The 5th version of Professor Moorad Choudhry’s benchmark reference textual content An creation to Value-at-Risk bargains an available and reader-friendly examine the idea that of VaR and its various estimation tools, and is aimed particularly at newbies to the marketplace or these surprising with smooth threat administration practices. the writer capitalises on his adventure within the monetary markets to offer this concise but in-depth assurance of VaR, set within the context of probability administration as a whole.

Topics coated 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 concerns reminiscent of data, volatility and correlation also are brought as helpful history for college kids and practitioners. this is often crucial examining for all those that require an advent to monetary marketplace probability administration and chance dimension techniques.

Foreword by way of Carol Alexander, Professor of Finance, college of Sussex.

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