An Introduction to Value-at-Risk

Moorad Choudhry author

Format:Paperback

Publisher:John Wiley & Sons Inc

Published:5th Apr '13

Currently unavailable, and unfortunately no date known when it will be back

An Introduction to Value-at-Risk cover

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 whole.

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 examples and exercises. Related issues such as statistics, volatility and correlation are also introduced as necessary background for students and practitioners. This is essential reading for all those who require an introduction to financial market risk management and risk measurement techniques.

Foreword by Carol Alexander, Professor of Finance, University of Sussex.

ISBN: 9781118316726

Dimensions: 230mm x 152mm x 18mm

Weight: 354g

224 pages

5th edition