Implementing value at risk / Philip Best.

Format:

Book

Author/Creator:

Best, Philip.

Contributor:

Ellis D. Williams, College 1865, Endowment Fund.

Series:

Wiley series in financial engineering

[Financial engineering]

Language:

English

Subjects (All):

Asset-liability management.

Bank investments.

Local Subjects:

Bank investments.

Asset-liability management.

Physical Description:

xiii, 208 pages : illustrations ; 24 cm + 1 computer laser optical disc (4 3/4 in.)

Place of Publication:

Chichester, West Sussex, England ; New York, NY, USA : J. Wiley & Sons, [1998]

System Details:

System requirements for accompanying computer disc: Microsoft Excel 5.0.

Summary:

"Value at Risk" (VAR) is a modeling method used to determine how much money an organization is putting at risk through its trading activities. Here, Philip Best, an expert on the subject, offers a comprehensive and detailed discussion on the many aspects of VAR. Best covers the evolution of Value at Risk, using VAR as a risk measurement technique, using VAR to control risk, historical simulation, and implementing VAR. Most importantly, the author shows how Value at Risk should be calculated and used most effectively.

Notes:

Series statement on jacket.

Includes bibliographical references (pages [199]-200) and index.

Local Notes:

Acquired for the Penn Libraries with assistance from the Ellis D. Williams, College 1865, Endowment Fund.

ISBN:

0471972053

OCLC:

38948110