Download PDF by Moorad Choudhry: An Introduction to Value-at-Risk

By Moorad Choudhry

ISBN-10: 111831669X

ISBN-13: 9781118316696

ISBN-10: 1118316703

ISBN-13: 9781118316702

ISBN-10: 1118316711

ISBN-13: 9781118316719

ISBN-10: 111831672X

ISBN-13: 9781118316726

The value-at-risk size method is a widely-used instrument in monetary marketplace chance administration. The 5th variation of Professor Moorad Choudhry’s benchmark reference textual content An advent to Value-at-Risk deals an available and reader-friendly examine the concept that of VaR and its varied estimation tools, and is aimed particularly at newbies to the marketplace or these unusual with glossy chance administration practices. the writer capitalises on his event within the monetary markets to provide this concise but in-depth assurance of VaR, set within the context of chance administration as a whole.

Topics coated include:

  • Defining value-at-risk
  • Variance-covariance methodology
  • Portfolio VaR
  • Credit danger and credits VaR
  • Stressed VaR
  • Critique and VaR in the course of crisis

Topics are illustrated with Bloomberg monitors, labored examples and workouts. comparable concerns reminiscent of facts, volatility and correlation also are brought as useful heritage for college students and practitioners. this is often crucial analyzing for all those that require an creation to monetary marketplace danger administration and probability size techniques.

Foreword by way of Carol Alexander, Professor of Finance, college of Sussex.

Show description

Read or Download An Introduction to Value-at-Risk PDF

Similar corporate finance books

Philip Kotler's Attracting Investors: A Marketing Approach to Finding Funds PDF

Advertising guru Philip Kotler indicates marketers tips on how to industry their businesses to investorsHow can companies do a greater activity of attracting capital? the reply: ''Marketing! '' advertising professional Philip Kotler groups up with a well known consultant and an INSEAD professor for this sensible, marketing-based method of elevating capital from traders.

Download PDF by Subhrendu Chatterji: Loan Workouts and Debt for Equity Swaps: A Framework for

The main to a winning mortgage work out is to spot the issues appropriately and handle them early. it truly is serious that the company's underlying enterprise and monetary difficulties are resolved and never purely the indications. mortgage routines and Debt for fairness Swaps examines how a profitable mortgage exercise session may be controlled.

New PDF release: ACT companion to treasury management

ACT better half to treasury administration is greater than simply an replace of the vintage forst version. it's been thoroughly rewritten to include all that has replaced in overseas treasury administration because the first variation was once written over twelve years in the past.

Akihiko Takahashi, Yukio Muromachi, Takashi Shibata's Recent Advances in Financial Engineering 2012: Proceedings PDF

Fresh Advances in monetary Engineering 2012 is the court cases of the foreign Workshop on Finance 2012, which used to be held on the college of Tokyo on October 30 and 31, 2012. This workshop was once geared up by way of the guts for complex study in Finance (CARF), Graduate college of Economics, the collage of Tokyo, and Graduate institution of Social Sciences, Tokyo Metropolitan college (TMU).

Extra resources for An Introduction to Value-at-Risk

Sample text

This is because, even though the bonds are negatively related, they can both be expected to fall in value when the market overall is dropping. Bond 2 is no good for risk mitigation, it is strongly positively correlated. Bond 2 has essentially no relationship with Bond 1; however, it is also the most risky security in the portfolio. We will apply what we have learned here in Chapter 3. Chapter 3 VALUE-AT-RISK 30 AN INTRODUCTION TO VALUE-AT-RISK T he advent of value-at-risk (VaR) as an accepted methodology for quantifying market risk and its adoption by bank regulators are part of the development of risk management.

For an investor it is more useful as a relative measure, in comparing the ratio of one investment with that of another. For bank trading desks it is a useful measure of the return generated against the risk incurred, for which the return and volatility of individual trading books can be compared with that on the risk-free instrument (or a bank book trading only T-bills). INTRODUCTION TO RISK 11 Van Ratio The Van Ratio expresses the probability of an investment suffering a loss for a defined period, usually 1 year.

As with historical simulation, Monte Carlo simulation allows the risk manager to use actual historical distributions for risk factor returns rather than having to assume normal returns. A large number of randomly generated simulations are run forward in time using volatility and correlation estimates chosen by the risk manager. , historical distributions and volatility and correlation estimates). This method is more realistic than the previous two models and, therefore, is more likely to estimate VaR more accurately.

Download PDF sample

An Introduction to Value-at-Risk by Moorad Choudhry


by Joseph
4.2

Rated 4.56 of 5 – based on 5 votes