000			05691cam a2200649Mi 4500
001			ocn843198735
003			OCoLC
005			20171224114317.0
006			m o d
007			cr |n|---|||||
008			130515s2013 nyu o 000 0 eng d
040			_aMERUC _beng _epn _cMERUC _dMHW _dYDXCP _dN$T _dMEAUC _dOCLCF _dTEFOD _dCDX _dOCLCQ _dOCLCO _dTEFOD _dDG1 _dOCLCQ _dDEBBG
019			_a857438799
020			_a9781118316702 _q(electronic bk.)
020			_a1118316703 _q(electronic bk.)
020			_a9781119208037 _q(electronic bk.)
020			_a1119208033 _q(electronic bk.)
020			_z111831672X
020			_z9781118316726
020			_z9781299534018
020			_z1299534015
029	1		_aAU@ _b000053032317
029	1		_aAU@ _b000058373305
029	1		_aDEBBG _bBV043395879
035			_a(OCoLC)843198735 _z(OCoLC)857438799
037			_a71414359-8194-407A-B171-1F59BC324387 _bOverDrive, Inc. _nhttp://www.overdrive.com
050		4	_aHD61 .C547 2013
072		7	_aBUS _x033070 _2bisacsh
082	0	4	_a658.155
049			_aMAIN
100	1		_aChoudhry, Moorad.
245	1	3	_aAn introduction to value-at-risk / _cMoorad Choudhry.
250			_a5th ed.
260			_aNew York : _bWiley, _c2013.
300			_a1 online resource (226 pages).
336			_atext _btxt _2rdacontent
337			_acomputer _bc _2rdamedia
338			_aonline resource _bcr _2rdacarrier
490	1		_aSecurities Institute
520			_aThe 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		_aAN 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		_a3 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		_aFixed 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		_aJump 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		_aRatings 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	_aRisk management.
650		7	_aBUSINESS & ECONOMICS _xInsurance _xRisk Assessment & Management. _2bisacsh
650		7	_aRisk management. _2fast _0(OCoLC)fst01098164
655		4	_aElectronic books.
776	0	8	_iPrint version: _aChoudhry, Moorad. _tAn Introduction to Value-at-Risk. _dNew York : Wiley, ©2013 _z9781118316726
830		0	_aSecurities Institute.
856	4	0	_uhttp://onlinelibrary.wiley.com/book/10.1002/9781119208037 _zWiley Online Library
938			_aCoutts Information Services _bCOUT _n25393086
938			_aEBSCOhost _bEBSC _n569079
938			_aYBP Library Services _bYANK _n10582414
994			_a92 _bDG1
999			_c12757 _d12757