Description
Book SynopsisA 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.comTable of ContentsList 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
