An Introduction to Value-at-Risk
- ISBN-10
- 111831672X
- ISBN-13
- 9781118316726
- Category
- Business & Economics
- Pages
- 224
- Language
- English
- Published
- 2013-05-13
- Publisher
- John Wiley & Sons
- Author
- Moorad Choudhry
Description
This is an essential introduction to modern financial market risk management. Completely updated with the latest in the field, the book includes all new material on VaR in bank incremental default risk charge calculation, and Basel III and use of VaR in regulatory capital analysis. Capitalizing on his experience in the financial markets, the author illustrates topics with Bloomberg screens, worked examples, exercises, and case studies. Ideal for students and practitioners, the book additionally covers related issues such statistics and volatility and correlation. With a foreword by Carol Alexander and a contributing chapter from Max Wong.
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