- Applies the Value at Risk approach to market, credit, and operational risk measurement.
- Illustrates models with real-world case studies.
- Features coverage of BIS bank capital requirements.
List of Figures xiv
List of Tables xvi
List of Abbreviations xx
1 Introduction to Value at Risk (VaR) 1
2 Quantifying Volatility in VaR Models 21
3 Putting VaR to Work 82
4 Extending the VaR Approach to Non-tradable Loans 119
5 Extending the VaR Approach to Operational Risks 158
6 Applying VaR to Regulatory Models 200
7 VaR: Outstanding Research 233