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Understanding Market, Credit, And Operational Risk. The Value At Risk Approach.

Understanding Market, Credit, And Operational Risk. The Value At Risk Approach.

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  • ISBN:9780631227090
  • Editorial: Blackwell Publishers
  • Fecha de la edición:
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  • Dimensiones: 0 cm x 0 cm
  • Nº Pág.:284
  • Idiomas:Ingles,Inglés

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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.

1. Introduction to VaR 2. Quantifying Volatility in VaR Models 3. Putting VaR to Work 4. Extending the VaR Approach to Non-tradable Loans 5. Extending the VaR Approach to Operational Risk 6. Applying VaR to Regulatory Models 7. VaR: Outstanding Issues

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