E-Book, Englisch, 224 Seiten, E-Book
Reihe: Securities and Investment Institute
ISBN: 978-1-118-31669-6
Verlag: John Wiley & Sons
Format: EPUB
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)
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 examplesand exercises. Related issues such as statistics, volatility andcorrelation are also introduced as necessary background forstudents and practitioners. This is essential reading for all thosewho require an introduction to financial market risk management andrisk measurement techniques.
Foreword by Carol Alexander, Professor of Finance, University ofSussex.