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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.
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| Edición: | Fifth edition |
| Colección: | Securities Institute.
|
| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- 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.
- 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.
- 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.
- 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.
- 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).
- 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.