Mastering Value at Risk
A step-by-step guide to understanding & applying VAR
Résumé
The estimation of potential losses that could arise from adverse changes in market conditions is a key element of risk management. For financial institutions and corporate treasuries across the world, Value at Risk (VaR) is rapidly emerging as the dominant methodology for estimating precisely how much money is at risk each day in the financial markets.
However, the communication and application of VaR is a field in which the signal to noise ratio is not high. there is neither a widespread intuitive understanding of VaR in the market, nor an appreciation of the practicalities of its implementation and limitations.
Mastering Value at Risk will close that knowledge gap, introducing this potentially powerful methodology to those most in need of its benefits, and helping all those who encounter VaR to use it wisely.
Contents
- An outline of value at risk
- Value at Risk as a tool in supervisory Regulation
- Portfolio risk measurement
- Fixed income products
- Measuring the risk of complex derivative products
- The Greeks
- Option strategies
- Monte Carlo simulation
- Applying VaR principles to credit control
- Estimating volatility for profitable trading and risk reduction
- Real-life application of models
- References
- Bibliography
- Glossary
- Index
Caractéristiques techniques
| PAPIER | |
| Éditeur(s) | Prentice Hall |
| Auteur(s) | Cormac Butler |
| Parution | 06/01/1999 |
| Nb. de pages | 242 |
| Format | 17,5 x 24 |
| Couverture | Broché |
| Poids | 524g |
| Intérieur | Noir et Blanc |
| EAN13 | 9780273637523 |
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