5th edition. — Wiley, 2013. — 224 p. — ISBN 978-1118316726.The value-at-risk measurement methodology is a widely-used tool in financial market risk management. The fifth 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 Portfolio VaR Credit risk and credit VaR Stressed VaR Critique and VaR during crisis Topics are illustrated with Bloomberg screens, worked examples and exercises. 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 risk measurement techniques.
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John Wiley & Sons, 2008. — 494 p. — (Market Risk Analysis, Vol. IV).
Value at Risk and Other Risk Metrics.
An Overview of Market Risk Assessment.
Risk Measurement in Banks.
Risk Measurement in Portfolio Management.
Risk Measurement in Large Corporations.
Downside and Quantile Risk Metrics.
Semi-Standard Deviation and Second Order Lower.
Wiley, 2013. — 579 p. — 2nd ed. — ISBN: 111817545X, 9781118175453
A top risk management practitioner addresses the essential aspects of modern financial risk management
In the Second Edition of Financial Risk Management + Website, market risk expert Steve Allen offers an insider's view of this discipline and covers the strategies, principles, and measurement techniques...
Risk Books, 2012. — 527 p. — ISBN: 9781906348588
The author, Terry Benzschawel, succeeds in breaking down credit risk modelling into something that is easy to understand. The book does three main things: Describe data, theory and applications regarding corporations and sovereign nations likelihoods of default. Explain how the market prices the risk of default and its associated...
Wiley, 2012. — 2100 p. — ISBN: 1118006739, 9781118006733
3 Volume Set.
An essential reference dedicated to a wide array of financial models, issues in financial modeling, and mathematical and statistical tools for financial modeling
The need for serious coverage of financial modeling has never been greater, especially with the size, diversity, and efficiency of modern capital...
N.-Y.: CRC Press, 2013. - 523p.
The challenges of the current financial environment have revealed the need for a new generation of professionals who combine training in traditional finance disciplines with an understanding of sophisticated quantitative and analytical tools. Risk Management and Simulation shows how simulation modeling and analysis can help you solve risk...
3rd ed. — McGraw-Hill, 2006. — 594 p. — ISBN: 0071464956, 9780071464956
Since its original publication, Value at Risk has become the industry standard in risk management. Now in its Third Edition, this international bestseller addresses the fundamental changes in the field that have occurred across the globe in recent years. Philippe Jorion provides the most current information...