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Understanding Market, Credit, and Operational Risk. The Value at Risk Approach. Edition No. 1

  • ID: 2210727
  • Book
  • October 2003
  • 312 Pages
  • John Wiley and Sons Ltd
A step-by-step, real world guide to the use of Value at Risk (VaR) models, this text applies the VaR approach to the measurement of market risk, credit risk and operational risk. The book describes and critiques proprietary models, illustrating them with practical examples drawn from actual case studies. Explaining the logic behind the economics and statistics, this technically sophisticated yet intuitive text should be an essential resource for all readers operating in a world of risk.
  • 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.
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List of Figures xiv

List of Tables xvi

Preface xviii

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

Notes 236

References 257

Index 270

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Linda Allen
Jacob Boudoukh New York University.

Anthony Saunders
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