An introduction to value-at-risk / Moorad Choudhry.

Format:

Book

Author/Creator:

Choudhry, Moorad.

Series:

Securities Institute

Language:

English

Subjects (All):

Risk management.

Physical Description:

1 online resource (194 p.)

Edition:

4th ed.

Place of Publication:

Chichester, England ; Hoboken, NJ : John Wiley, 2006.

Language Note:

English

System Details:

text file

Summary:

The value-at-risk measurement methodology is a widely-used tool in financial market risk management. The fourth 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 estimation methods, and is aimed specifically at newcomers to the market or those unfamiliar with modern risk management practices. The author capitalises on his experience in the financial markets to present this concise yet in-depth coverage of VaR, set in the context of risk management as a whole. <

Contents:

COVER; 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; Standard deviation; Sharpe Ratio; Van RatioRatio; 2: VOLATILITY AND CORRELATION; Statistical concepts; Arithmetic mean; Probability distributions; Confidence intervals; Volatility; The normal distribution and VaR; Correlation; 3: VALUE-AT-RISK; What is VaR?; Definition; Methodology

Centralised databaseCorrelation assumptions; Correlation method; Historical simulation method; Monte Carlo simulation method; Validity of the volatility-correlation VaR estimate; How to calculate value-at-risk; Historical method; Simulation method; Variance-covariance, analytic or parametric method; Mapping; Confidence intervals; Comparison between methods; Choosing between methods; Comparison with the historical approach; Other market methodologies; Use of VaR models; Hypothetical portfolio VaR testing; Bank of England comparison of VaR models; Summary

4: VALUE-AT-RISK FOR FIXED INTEREST INSTRUMENTSFixed 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; 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 ladderMaturity 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; CAD II; Specific risk; Back-testing; Stress-testing; Simulating stress; Stress-testing in practice; Issues in stress-testing; 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; Concentration limits; Integrating the credit risk and market risk functions; Case Study and Exercises; Appendix: Taylor's Expansion; Abbreviations; Selected bibliography; Index

Notes:

Description based upon print version of record.

Includes bibliographical references (p. [161]) and index.

ISBN:

9786610739745

9781280739743

1280739746

9780470033777

0470033770

OCLC:

85837587