An introduction to value-at-risk / (Record no. 12757)
[ view plain ]
| 000 -LEADER | |
|---|---|
| fixed length control field | 05691cam a2200649Mi 4500 |
| 001 - CONTROL NUMBER | |
| control field | ocn843198735 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | OCoLC |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20171224114317.0 |
| 006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS--GENERAL INFORMATION | |
| fixed length control field | m o d |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION | |
| fixed length control field | cr |n|---||||| |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 130515s2013 nyu o 000 0 eng d |
| 040 ## - CATALOGING SOURCE | |
| Original cataloging agency | MERUC |
| Language of cataloging | eng |
| Description conventions | pn |
| Transcribing agency | MERUC |
| Modifying agency | MHW |
| -- | YDXCP |
| -- | N$T |
| -- | MEAUC |
| -- | OCLCF |
| -- | TEFOD |
| -- | CDX |
| -- | OCLCQ |
| -- | OCLCO |
| -- | TEFOD |
| -- | DG1 |
| -- | OCLCQ |
| -- | DEBBG |
| 019 ## - | |
| -- | 857438799 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9781118316702 |
| Qualifying information | (electronic bk.) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 1118316703 |
| Qualifying information | (electronic bk.) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9781119208037 |
| Qualifying information | (electronic bk.) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 1119208033 |
| Qualifying information | (electronic bk.) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| Cancelled/invalid ISBN | 111831672X |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| Cancelled/invalid ISBN | 9781118316726 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| Cancelled/invalid ISBN | 9781299534018 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| Cancelled/invalid ISBN | 1299534015 |
| 029 1# - (OCLC) | |
| OCLC library identifier | AU@ |
| System control number | 000053032317 |
| 029 1# - (OCLC) | |
| OCLC library identifier | AU@ |
| System control number | 000058373305 |
| 029 1# - (OCLC) | |
| OCLC library identifier | DEBBG |
| System control number | BV043395879 |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (OCoLC)843198735 |
| Canceled/invalid control number | (OCoLC)857438799 |
| 037 ## - SOURCE OF ACQUISITION | |
| Stock number | 71414359-8194-407A-B171-1F59BC324387 |
| Source of stock number/acquisition | OverDrive, Inc. |
| Note | http://www.overdrive.com |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER | |
| Classification number | HD61 .C547 2013 |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | BUS |
| Subject category code subdivision | 033070 |
| Source | bisacsh |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 658.155 |
| 049 ## - LOCAL HOLDINGS (OCLC) | |
| Holding library | MAIN |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Choudhry, Moorad. |
| 245 13 - TITLE STATEMENT | |
| Title | An introduction to value-at-risk / |
| Statement of responsibility, etc | Moorad Choudhry. |
| 250 ## - EDITION STATEMENT | |
| Edition statement | 5th ed. |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) | |
| Place of publication, distribution, etc | New York : |
| Name of publisher, distributor, etc | Wiley, |
| Date of publication, distribution, etc | 2013. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 1 online resource (226 pages). |
| 336 ## - | |
| -- | text |
| -- | txt |
| -- | rdacontent |
| 337 ## - | |
| -- | computer |
| -- | c |
| -- | rdamedia |
| 338 ## - | |
| -- | online resource |
| -- | cr |
| -- | rdacarrier |
| 490 1# - SERIES STATEMENT | |
| Series statement | Securities Institute |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc | 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. |
| 505 0# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | 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. |
| 505 8# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | 3 VALUE-AT-RISKWhat is VaR?; Definition; Methodology; Centralised database; Correlation assumptions; Correlation method; Historical simulation method; Monte Carlo simulation method; Validity of the volatility-correlation VaR estimate; How to calculate VaR; Historical method; Simulation method; Variance-covariance, analytic or parametric method; Mapping; Confidence intervals; Comparison between methods; Choosing between methods; Comparison with the historical approach; Comparing VaR calculation for different methodologies; Summary; 4 VALUE-AT-RISK FOR FIXED INTEREST INSTRUMENTS. |
| 505 8# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | Fixed income productsBond valuation; Duration; Modified duration; Convexity; Interest rate products; Forward rate agreements; Fixed income portfolio; Applying VaR for a FRA; VaR for an interest rate swap; Applying VaR for a bond futures contract; Calculation illustration; The historical method; Simulation methodology; Volatility over time; Application; Bloomberg screens; 5 OPTIONS: RISK AND VALUE-AT-RISK; Option valuation using the Black-Scholes model; Option pricing; Volatility; The Greeks; Delta; Gamma; Vega; Other Greeks; Risk measurement; Spot ladder; Maturity ladder; Across-time ladder. |
| 505 8# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | Jump riskApplying VaR for Options; 6 MONTE CARLO SIMULATION AND VALUE-AT-RISK; Introduction: Monte Carlo simulation; Option value under Monte Carlo; Monte Carlo distribution; Monte Carlo simulation and VaR; 7 REGULATORY ISSUES AND STRESS-TESTING; Capital adequacy; Model compliance; CAD II; Specific risk; Back-testing; Stress-testing; Simulating stress; Stress-testing in practice; Issues in stress-testing; The crash and Basel III; Stressed VaR; 8 CREDIT RISK AND CREDIT VALUE-AT-RISK; Types of credit risk; Credit spread risk; Credit default risk; Credit ratings; Credit ratings. |
| 505 8# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | Ratings changes over timeCorporate recovery rates; Credit derivatives; Measuring risk for a CDS contract; Modelling credit risk; Time horizon; Data inputs; CreditMetrics; Methodology; Time horizon; Calculating the credit VaR; CreditRisk+; Applications of credit VaR; Prioritising risk-reducing actions; Standard credit limit setting; Integrating the credit risk and market risk functions; 9 A REVIEW OF VALUE-AT-RISK; VaR in Crisis; Weaknesses Revealed; Market risk; Credit risk; Portfolio effects; New Regulation and Development; Procyclicality: stressed VaR (SVaR). |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Risk management. |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | BUSINESS & ECONOMICS |
| General subdivision | Insurance |
| -- | Risk Assessment & Management. |
| Source of heading or term | bisacsh |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Risk management. |
| Source of heading or term | fast |
| -- | (OCoLC)fst01098164 |
| 655 #4 - INDEX TERM--GENRE/FORM | |
| Genre/form data or focus term | Electronic books. |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Display text | Print version: |
| Main entry heading | Choudhry, Moorad. |
| Title | An Introduction to Value-at-Risk. |
| Place, publisher, and date of publication | New York : Wiley, ©2013 |
| International Standard Book Number | 9781118316726 |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE | |
| Uniform title | Securities Institute. |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="http://onlinelibrary.wiley.com/book/10.1002/9781119208037">http://onlinelibrary.wiley.com/book/10.1002/9781119208037</a> |
| Public note | Wiley Online Library |
| 938 ## - | |
| -- | Coutts Information Services |
| -- | COUT |
| -- | 25393086 |
| 938 ## - | |
| -- | EBSCOhost |
| -- | EBSC |
| -- | 569079 |
| 938 ## - | |
| -- | YBP Library Services |
| -- | YANK |
| -- | 10582414 |
| 994 ## - | |
| -- | 92 |
| -- | DG1 |
No items available.