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An introduction to value-at-risk /
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 e...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Autores Corporativos: | , |
| Otros Autores: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Chichester, West Sussex :
Wiley,
2013.
|
| Edición: | Fifth edition |
| Colección: | Securities Institute.
|
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 082 | 0 | 4 | |a 658.155 |2 23 |
| 049 | |a UAMI | ||
| 100 | 1 | |a Choudhry, Moorad. | |
| 245 | 1 | 3 | |a An introduction to value-at-risk / |c Moorad Choudhry ; with a contribution from Max Wong. |
| 250 | |a Fifth edition | ||
| 260 | |a Chichester, West Sussex : |b Wiley, |c 2013. | ||
| 300 | |a 1 online resource (xxii, 200 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a Securities Institute | |
| 504 | |a Includes bibliographical references (pages 185-186) and index. | ||
| 588 | 0 | |a Online resource; title from digital title page (ebrary platform, viewed August 26, 2014). | |
| 505 | 0 | |a 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 | |a 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 | |a 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 | |a 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 | |a 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). | |
| 505 | 0 | |a 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 - Probabiity distributions - Confidence intervals - Volatility -- The normal distribution and VaR -- Correlation -- 3, VALUE-AT-RISK. What 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. Fixed income products -- Bond 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 -- 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 -- Jump risk -- Applying 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 - VaR models -- The model review process -- CAD II -- Risk factors -- Qualitative requirements -- Specific risk -- Regulatory capital requirement -- Back-testing -- Stress-testing -- Simulating stress -- Stress-testing in practice -- Issues in stress-testing -- Back-testing -- Procedure -- 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 -- Purpose of credit ratings -- Formal credit ratings -- Ratings changes over time -- Ratings transition matrix -- Corporate 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 -- Step 1 Exposure profiles -- Step 2 Volatility of each exposure from upgrades, downgrades and defaults -- Step 3 Correlations -- CreditManager -- CreditRisk -- The modelling process -- Correlation and background factors - Concentration -- Distribution of the number of default events -- Application software -- Summary of the CreditRisk model -- Applications of credit VaR -- Prioritising risk-reducing actions -- Exposure limits -- 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) -- Default and migration risks: incremental risk charge (IRC) -- Liquidity risks: differing liquidity horizons -- Counterparty risks: CVA VaR -- Fat tail risk: over-buffering -- New framework for trading book -- beyond the current paradigm -- Exercises -- Simple exercises -- Bank risk exposure and value-at-risk -- Appendix: Taylor's expansion -- Abbreviations -- Selected bibliography -- Index -- Other titles by the author. | |
| 520 | |a 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. | ||
| 530 | |a Also available in print format. | ||
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Risk management. | |
| 650 | 0 | |a Risk management |x Econometric models. | |
| 650 | 2 | |a Risk Management | |
| 650 | 6 | |a Gestion du risque. | |
| 650 | 6 | |a Gestion du risque |x Modèles économétriques. | |
| 650 | 7 | |a risk management. |2 aat | |
| 650 | 7 | |a Risk management |x Econometric models |2 fast | |
| 650 | 7 | |a Risk management |2 fast | |
| 650 | 7 | |a Value at Risk |2 gnd | |
| 650 | 7 | |a Finance. |2 thema | |
| 650 | 7 | |a Finance and Accounting. |2 ukslc | |
| 700 | 1 | |a Wong, Max C. Y. |q (Max Chan Yue) |1 https://id.oclc.org/worldcat/entity/E39PCjHw7kWxT3DhhT6Tgxkwbq | |
| 710 | 2 | |a Securities Institute. | |
| 710 | 2 | |a Chartered Institute for Securities & Investment. | |
| 758 | |i has work: |a An introduction to value-at-risk (Text) |1 https://id.oclc.org/worldcat/entity/E39PCFt3Y8Tt9jqFqCQDptFHYP |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 776 | 0 | 8 | |i Print version: |a Choudhry, Moorad. |t An introduction to value-at-risk. |d Chichester, England. Wiley, 2013. |z 9781118316726 |w (OCoLC)796758580 |
| 830 | 0 | |a Securities Institute. | |
| 856 | 4 | 0 | |u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=1173428 |z Texto completo |
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