Author(s): Moorad Choudhry (Author), Carol Alexander (Foreword)
Publisher: Wiley
Publication Date: 5 April 2013
Edition: 5th
Language: English
Print length: 224 pages
ISBN-10: 9781118316726
ISBN-13: 111831672X
Book Description
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 5th Edition 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-risk
Variance-covariance methodology
Portfolio VaR
Credit risk and credit VaR
Stressed VaR
Critique 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.
Editorial Reviews
From the Inside Flap
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 5th Edition 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. Coverage includes:
Defining value-at-risk
Variance-covariance methodology
Portfolio VaR
Credit risk and credit VaR
Stressed VaR
Credit valuation adjustment VaR
VaR during crisis and the way forward
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 student and practitioners. This is essential reading for all those who require an introduction to financial market risk management and risk measurement techniques.
From the Back Cover
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 5th Edition 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. Coverage includes:
Defining value-at-risk
Variance-covariance methodology
Portfolio VaR
Credit risk and credit VaR
Stressed VaR
Credit valuation adjustment VaR
VaR during crisis and the way forward
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 student and practitioners. This is essential reading for all those who require an introduction to financial market risk management and risk measurement techniques.
About the Author
Moorad Choudhry is an MD in Group Treasury at The Royal Bank of Scotland. He is Visiting Professor at the Department of Mathematical Sciences, Brunel University, Visiting Professor at the IFS-School of Finance, Visiting Teaching Fellow at the Department of Management, Birkbeck, University of London, Vice-Chair of the Board of Directors of PRMIA, and Fellow of the Chartered Institute for Securities & Investment.
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