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Product Description
The value–at–risk measurement methodology is a widely–used tool in financial market risk management. The fourth 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
- Monte Carlo simulation
- Portfolio VaR
- Credit risk and credit VaR
Topics are illustrated with Bloomberg screens, worked examples, exercises and case studies. 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 value–at–risk.
From the Back Cover
The value–at–risk measurement methodology is a widely–used tool in financial market risk management. The fourth 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
- Monte Carlo simulation
- Portfolio VaR
- Credit risk and credit VaR
Topics are illustrated with Bloomberg screens, worked examples, exercises and case studies. 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 value–at–risk.
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Front Cover | Copyright | Table of Contents | Excerpt | Index
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Most Helpful Customer Reviews
Format:Paperback
I bought this because I needed an introductory book to VaR.
The author honestly has tried to give a concise and comprehensive introduction to VaR but I think at some points he fails to do so.
The biggest problem of the book however is that it is full of mistakes, even at the equation given for the Vega measure of the Black-Scholes model.
The author honestly has tried to give a concise and comprehensive introduction to VaR but I think at some points he fails to do so.
The biggest problem of the book however is that it is full of mistakes, even at the equation given for the Vega measure of the Black-Scholes model.
3 of 5 people found the following review helpful
Format:Paperback
This book offers a very good starting point for everyone interested (and those who need it for their Finance degree) in the concepts of VaR and how it is measured. Being not very technical, it does not go into too much detail about the mathematics of the various VaR methodologies, but is therefore also more comprehensive. If you do not have any previous knowledge about VaR or Risk Management, you will find this book to be a very good basis for further reading. Those who require more detail about VaR should read Kevin Dowd's "Beyond Value at Risk" or Philip Best's "Implementing Value at Risk
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