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Implementing Value at Risk
Language: en
Pages: 224
Authors: Philip Best
Categories: Business & Economics
Type: BOOK - Published: 2000-11-21 - Publisher: John Wiley & Sons

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Implementing Value at Risk Philip Best Value at Risk (VAR) is an estimate of the potential loss on a trading or investment portfolio. Its use has swept the bank
Value-at-risk
Language: en
Pages: 405
Authors: Glyn A. Holton
Categories: Business & Economics
Type: BOOK - Published: 2003 - Publisher:

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Value-at-risk (VaR) is a measure of market risk that has been widely adopted since the mid-1990s for use on trading floors. It describes how to design, implemen
Value at Risk and Bank Capital Management
Language: en
Pages: 276
Authors: Francesco Saita
Categories: Business & Economics
Type: BOOK - Published: 2010-07-26 - Publisher: Elsevier

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Value at Risk and Bank Capital Management offers a unique combination of concise, expert academic analysis of the latest technical VaR measures and their applic
Hands-On Value-at-Risk and Expected Shortfall
Language: en
Pages: 174
Authors: Martin Auer
Categories: Business & Economics
Type: BOOK - Published: 2018-02-01 - Publisher: Springer

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This book describes a maximally simple market risk model that is still practical and main risk measures like the value-at-risk and the expected shortfall. It ou
An Introduction to Value-at-Risk
Language: en
Pages: 194
Authors: Moorad Choudhry
Categories: Business & Economics
Type: BOOK - Published: 2007-01-11 - Publisher: John Wiley & Sons

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The value-at-risk measurement methodology is a widely-used tool in financial market risk management. The fourth edition of Professor Moorad Choudhry’s benchma