Description

Book Synopsis
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.

Trade Review
"This book is a clear explanation of the science and art of the Value at Risk approach to risk measurement. There is no better explication of both the theory underlying the approach and its practical implementation. It is an invaluable tool to anyone involved in any type of risk management." Mark Zandi, Economy.com

Table of Contents

List of Figures xiv

List of Tables xvi

Preface xviii

List of Abbreviations xx

1 Introduction to Value at Risk (VaR) 1

2 Quantifying Volatility in VaR Models 21

3 Putting VaR to Work 82

4 Extending the VaR Approach to Non-tradable Loans 119

5 Extending the VaR Approach to Operational Risks 158

6 Applying VaR to Regulatory Models 200

7 VaR: Outstanding Research 233

Notes 236

References 257

Index 270

Understanding Market Credit and Operational Risk

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    A Hardback by Linda Allen, Jacob Boudoukh, Anthony Saunders

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      Book details

      Publisher John Wiley and Sons Ltd
      Published 27 October 2003
      ISBN-13 9780631227090
      978-0631227090
      ISBN-10 0631227091
      Also in:
      Business, Finance & Law Finance and accounting Investment and securities Management decision making

      Description

      Book Synopsis
      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.

      Trade Review
      "This book is a clear explanation of the science and art of the Value at Risk approach to risk measurement. There is no better explication of both the theory underlying the approach and its practical implementation. It is an invaluable tool to anyone involved in any type of risk management." Mark Zandi, Economy.com

      Table of Contents

      List of Figures xiv

      List of Tables xvi

      Preface xviii

      List of Abbreviations xx

      1 Introduction to Value at Risk (VaR) 1

      2 Quantifying Volatility in VaR Models 21

      3 Putting VaR to Work 82

      4 Extending the VaR Approach to Non-tradable Loans 119

      5 Extending the VaR Approach to Operational Risks 158

      6 Applying VaR to Regulatory Models 200

      7 VaR: Outstanding Research 233

      Notes 236

      References 257

      Index 270

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