An introduction to value-at-risk /

• Κύριος συγγραφέας: Choudhry, Moorad
• Μορφή: Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: New York : Wiley, 2013.
• Έκδοση: 5th ed.
• Σειρά: Securities Institute.
• Θέματα: Risk management.; BUSINESS & ECONOMICS > Insurance > Risk Assessment & Management.; Electronic books.

 The value-at-risk measurement methodology is a widely-used tool in financial market risk management. The fifth edition of Professor Moorad Choudhry's benchmark reference text An Introduction to Value-at-Risk offers an accessible and reader-friendly look at the concept of VaR and its different estimation methods, and is aimed specifically at newcomers to the market or those unfamiliar with modern risk management practices. The author capitalises on his experience in the financial markets to present this concise yet in-depth coverage of VaR, set in the context of risk management as a w. 

 AN INTRODUCTION TO VALUE-AT-RISK; Concentration limits; CONTENTS; Foreword; Preface; Preface to the first edition; About the author; 1 INTRODUCTION TO RISK; Defining risk; The elements of risk: characterising risk; Forms of market risk; Other risks; Risk estimation; Risk management; The risk management function; Managing risk; Quantitative measurement of risk-reward; Standard deviation; Sharpe Ratio; Van Ratio; 2 VOLATILITY AND CORRELATION; Statistical concepts; Arithmetic mean; Probability distributions; Confidence intervals; Volatility; The normal distribution and VaR; Correlation.