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9781405142267

Understanding Market, Credit, and Operational Risk: The Value at Risk Approach

by ; ;
  • ISBN13:

    9781405142267

  • ISBN10:

    140514226X

  • Format: eBook
  • Copyright: 2009-02-01
  • Publisher: Wiley-Blackwell
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List Price: $72.00
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Summary

A step-by-step, real world guide to the use of Value at Risk (VaR) models, this text applies the VaR approach to the measurement of market risk, credit risk and operational risk. The book describes and critiques proprietary models, illustrating them with practical examples drawn from actual case studies. Explaining the logic behind the economics and statistics, this technically sophisticated yet intuitive text should be an essential resource for all readers operating in a world of risk. Applies the Value at Risk approach to market, credit, and operational risk measurement. Illustrates models with real-world case studies. Features coverage of BIS bank capital requirements.

Table of Contents

List of Figures
List of Tables
Preface
List of Abbreviations
Introduction to Value at Risk (VaR)
Quantifying Volatility in VaR Models
Putting VaR to Work
Extending the VaR Approach to Non-tradable Loans
Extending the VaR Approach to Operational Risk
Applying VaR to Regulatory Models
VaR: Outstanding Issues
Notes
References
Index
Table of Contents provided by Publisher. All Rights Reserved.

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