Market risk analysis. Volume IV, Value-at-risk-models / Carol Alexander.

Format:

Book

Author/Creator:

Alexander, Carol.

Series:

The Wiley Finance Series

The Wiley Finance Series ; v.4

Language:

English

Subjects (All):

Risk management.

Hedging (Finance).

Physical Description:

1 online resource (493 p.)

Edition:

1st edition

Place of Publication:

Chichester, England ; Hoboken, NJ : Wiley, 2008.

Language Note:

English

System Details:

text file

Summary:

Written by leading market risk academic, Professor Carol Alexander, Value-at-Risk Models forms part four of the Market Risk Analysis four volume set. Building on the three previous volumes this book provides by far the most comprehensive, rigorous and detailed treatment of market VaR models. It rests on the basic knowledge of financial mathematics and statistics gained from Volume I, of factor models, principal component analysis, statistical models of volatility and correlation and copulas from Volume II and, from Volume III, knowledge of pricing and hedging financial instruments and o

Contents:

Market Risk Analysis Volume IV; Contents; List of Figures; List of Tables; List of Examples; Foreword; Preface to Volume IV; IV.1 Value at Risk and Other Risk Metrics; IV.2 Parametric Linear VaR Models; IV.3 Historical Simulation; IV.4 Monte Carlo VaR; IV.5 Value at Risk for Option Portfolios; IV.6 Risk Model Risk; IV.7 Scenario Analysis and Stress Testing; IV.8 Capital Allocation; References; Index

Notes:

Description based upon print version of record.

Includes bibliographical references and index.es.

ISBN:

9786612349485

9781282349483

1282349481

9780470745076

047074507X

OCLC:

781265678