The value-at-risk measurement methodology is a widely-used tool
in financial market risk management. The fifth 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.
Topics covered include: Defining
value-at-riskVariance-covariance methodologyPortfolio VaRCredit
risk and credit VaRStressed VaRCritique and VaR during crisis
Topics are illustrated with Bloomberg screens, worked examples
and exercises. Related issues such as statistics, volatility and
correlation are also introduced as necessary background for
students and practitioners. This is essential reading for all those
who require an introduction to financial market risk management and
risk measurement techniques.
Foreword by Carol Alexander, Professor of Finance, University of
Sussex.
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