{"product_id":"an-introduction-to-value-at-risk-isbn-9781118316726","title":"An Introduction to Value-at-Risk","description":"\u003cp\u003eThe 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 \u003ci\u003eAn Introduction to Value-at-Risk\u003c\/i\u003e 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.\u003c\/p\u003e \u003cp\u003eTopics covered include:\u003c\/p\u003e \u003cul\u003e \u003cli\u003eDefining value-at-risk\u003c\/li\u003e \u003cli\u003eVariance-covariance methodology\u003c\/li\u003e \u003cli\u003ePortfolio VaR\u003c\/li\u003e \u003cli\u003eCredit risk and credit VaR\u003c\/li\u003e \u003cli\u003eStressed VaR\u003c\/li\u003e \u003cli\u003eCritique and VaR during crisis\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003eTopics 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.\u003c\/p\u003e \u003cp\u003eForeword by Carol Alexander, Professor of Finance, University of Sussex.\u003c\/p\u003e  Foreword xv  \u003cp\u003ePreface xvii\u003c\/p\u003e \u003cp\u003ePreface to the first edition xxi\u003c\/p\u003e \u003cp\u003eAbout the author xxiii\u003c\/p\u003e \u003cp\u003e\u003cb\u003e1 INTRODUCTION TO RISK 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDefining risk 2\u003c\/p\u003e \u003cp\u003eThe elements of risk: characterising risk 3\u003c\/p\u003e \u003cp\u003eForms of market risk 4\u003c\/p\u003e \u003cp\u003eOther risks 5\u003c\/p\u003e \u003cp\u003eRisk estimation 6\u003c\/p\u003e \u003cp\u003eRisk management 7\u003c\/p\u003e \u003cp\u003eThe risk management function 7\u003c\/p\u003e \u003cp\u003eManaging risk 9\u003c\/p\u003e \u003cp\u003eQuantitative measurement of risk–reward 9\u003c\/p\u003e \u003cp\u003eStandard deviation 10\u003c\/p\u003e \u003cp\u003eSharpe Ratio 10\u003c\/p\u003e \u003cp\u003eVan Ratio 11\u003c\/p\u003e \u003cp\u003e\u003cb\u003e2 VOLATILITY AND CORRELATION 13\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eStatistical concepts 14\u003c\/p\u003e \u003cp\u003eArithmetic mean 14\u003c\/p\u003e \u003cp\u003eProbability distributions 16\u003c\/p\u003e \u003cp\u003eConfidence intervals 18\u003c\/p\u003e \u003cp\u003eVolatility 20\u003c\/p\u003e \u003cp\u003eThe normal distribution and VaR 26\u003c\/p\u003e \u003cp\u003eCorrelation 28\u003c\/p\u003e \u003cp\u003e\u003cb\u003e3 VALUE-AT-RISK 29\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eWhat is VaR? 30\u003c\/p\u003e \u003cp\u003eDefinition 30\u003c\/p\u003e \u003cp\u003eMethodology 32\u003c\/p\u003e \u003cp\u003eCentralised database 32\u003c\/p\u003e \u003cp\u003eCorrelation assumptions 33\u003c\/p\u003e \u003cp\u003eCorrelation method 33\u003c\/p\u003e \u003cp\u003eHistorical simulation method 34\u003c\/p\u003e \u003cp\u003eMonte Carlo simulation method 35\u003c\/p\u003e \u003cp\u003eValidity of the volatility-correlation VaR estimate 35\u003c\/p\u003e \u003cp\u003eHow to calculate VaR 35\u003c\/p\u003e \u003cp\u003eHistorical method 36\u003c\/p\u003e \u003cp\u003eSimulation method 37\u003c\/p\u003e \u003cp\u003eVariance–covariance, analytic or parametric method 37\u003c\/p\u003e \u003cp\u003eMapping 44\u003c\/p\u003e \u003cp\u003eConfidence intervals 47\u003c\/p\u003e \u003cp\u003eComparison between methods 48\u003c\/p\u003e \u003cp\u003eChoosing between methods 48\u003c\/p\u003e \u003cp\u003eComparison with the historical approach 53\u003c\/p\u003e \u003cp\u003eComparing VaR calculation for different methodologies 54\u003c\/p\u003e \u003cp\u003eSummary 56\u003c\/p\u003e \u003cp\u003e\u003cb\u003e4 VALUE-AT-RISK FOR FIXED INTEREST INSTRUMENTS 59\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eFixed income products 60\u003c\/p\u003e \u003cp\u003eBond valuation 60\u003c\/p\u003e \u003cp\u003eDuration 62\u003c\/p\u003e \u003cp\u003eModified duration 64\u003c\/p\u003e \u003cp\u003eConvexity 64\u003c\/p\u003e \u003cp\u003eInterest rate products 65\u003c\/p\u003e \u003cp\u003eForward rate agreements 65\u003c\/p\u003e \u003cp\u003eFixed income portfolio 68\u003c\/p\u003e \u003cp\u003eApplying VaR for a FRA 70\u003c\/p\u003e \u003cp\u003eVaR for an interest rate swap 72\u003c\/p\u003e \u003cp\u003eApplying VaR for a bond futures contract 76\u003c\/p\u003e \u003cp\u003eCalculation illustration 76\u003c\/p\u003e \u003cp\u003eThe historical method 79\u003c\/p\u003e \u003cp\u003eSimulation methodology 80\u003c\/p\u003e \u003cp\u003eVolatility over time 81\u003c\/p\u003e \u003cp\u003eApplication 81\u003c\/p\u003e \u003cp\u003eBloomberg screens 82\u003c\/p\u003e \u003cp\u003e\u003cb\u003e5 OPTIONS: RISK AND VALUE-AT-RISK 85\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eOption valuation using the Black–Scholes model 86\u003c\/p\u003e \u003cp\u003eOption pricing 86\u003c\/p\u003e \u003cp\u003eVolatility 88\u003c\/p\u003e \u003cp\u003eThe Greeks 89\u003c\/p\u003e \u003cp\u003eDelta 90\u003c\/p\u003e \u003cp\u003eGamma 90\u003c\/p\u003e \u003cp\u003eVega 91\u003c\/p\u003e \u003cp\u003eOther Greeks 92\u003c\/p\u003e \u003cp\u003eRisk measurement 92\u003c\/p\u003e \u003cp\u003eSpot ladder 93\u003c\/p\u003e \u003cp\u003eMaturity ladder 93\u003c\/p\u003e \u003cp\u003eAcross-time ladder 93\u003c\/p\u003e \u003cp\u003eJump risk 93\u003c\/p\u003e \u003cp\u003eApplying VaR for Options 94\u003c\/p\u003e \u003cp\u003e\u003cb\u003e6 MONTE CARLO SIMULATION AND VALUE-AT-RISK 99\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eIntroduction: Monte Carlo simulation 100\u003c\/p\u003e \u003cp\u003eOption value under Monte Carlo 100\u003c\/p\u003e \u003cp\u003eMonte Carlo distribution 103\u003c\/p\u003e \u003cp\u003eMonte Carlo simulation and VaR 104\u003c\/p\u003e \u003cp\u003e\u003cb\u003e7 REGULATORY ISSUES AND STRESS-TESTING 107\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCapital adequacy 108\u003c\/p\u003e \u003cp\u003eModel compliance 108\u003c\/p\u003e \u003cp\u003eCAD II 109\u003c\/p\u003e \u003cp\u003eSpecific risk 111\u003c\/p\u003e \u003cp\u003eBack-testing 112\u003c\/p\u003e \u003cp\u003eStress-testing 112\u003c\/p\u003e \u003cp\u003eSimulating stress 113\u003c\/p\u003e \u003cp\u003eStress-testing in practice 114\u003c\/p\u003e \u003cp\u003eIssues in stress-testing 115\u003c\/p\u003e \u003cp\u003eThe crash and Basel III 116\u003c\/p\u003e \u003cp\u003eStressed VaR 116\u003c\/p\u003e \u003cp\u003e\u003cb\u003e8 CREDIT RISK AND CREDIT VALUE-AT-RISK 119\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eTypes of credit risk 120\u003c\/p\u003e \u003cp\u003eCredit spread risk 120\u003c\/p\u003e \u003cp\u003eCredit default risk 121\u003c\/p\u003e \u003cp\u003eCredit ratings 121\u003c\/p\u003e \u003cp\u003eCredit ratings 121\u003c\/p\u003e \u003cp\u003eRatings changes over time 123\u003c\/p\u003e \u003cp\u003eCorporate recovery rates 125\u003c\/p\u003e \u003cp\u003eCredit derivatives 126\u003c\/p\u003e \u003cp\u003eMeasuring risk for a CDS contract 128\u003c\/p\u003e \u003cp\u003eModelling credit risk 129\u003c\/p\u003e \u003cp\u003eTime horizon 131\u003c\/p\u003e \u003cp\u003eData inputs 131\u003c\/p\u003e \u003cp\u003eCreditMetrics 131\u003c\/p\u003e \u003cp\u003eMethodology 132\u003c\/p\u003e \u003cp\u003eTime horizon 133\u003c\/p\u003e \u003cp\u003eCalculating the credit VaR 134\u003c\/p\u003e \u003cp\u003eCreditRiskþ 137\u003c\/p\u003e \u003cp\u003eApplications of credit VaR 142\u003c\/p\u003e \u003cp\u003ePrioritising risk-reducing actions 142\u003c\/p\u003e \u003cp\u003eStandard credit limit setting 143\u003c\/p\u003e \u003cp\u003eConcentration limits 144\u003c\/p\u003e \u003cp\u003eIntegrating the credit risk and market risk functions 144\u003c\/p\u003e \u003cp\u003e\u003cb\u003e9 A REVIEW OF VALUE-AT-RISK 147\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eVaR in Crisis 149\u003c\/p\u003e \u003cp\u003eWeaknesses Revealed 151\u003c\/p\u003e \u003cp\u003eMarket risk 151\u003c\/p\u003e \u003cp\u003eCredit risk 153\u003c\/p\u003e \u003cp\u003ePortfolio effects 155\u003c\/p\u003e \u003cp\u003eNew Regulation and Development 158\u003c\/p\u003e \u003cp\u003eProcyclicality: stressed VaR (SVaR) 158\u003c\/p\u003e \u003cp\u003eDefault and migration risks: incremental risk charge (IRC) 159\u003c\/p\u003e \u003cp\u003eLiquidity risks: differing liquidity horizons 161\u003c\/p\u003e \u003cp\u003eCounterparty risks: CVA VaR 162\u003c\/p\u003e \u003cp\u003eFat tail risk: over-buffering 164\u003c\/p\u003e \u003cp\u003eNew framework for trading book 164\u003c\/p\u003e \u003cp\u003eBeyond the Current Paradigm 166\u003c\/p\u003e \u003cp\u003eExercises 171\u003c\/p\u003e \u003cp\u003eAppendix: Taylor’s Expansion 179\u003c\/p\u003e \u003cp\u003eAbbreviations 183\u003c\/p\u003e \u003cp\u003eSelected bibliography 185\u003c\/p\u003e \u003cp\u003eIndex 187\u003c\/p\u003e \u003cb\u003eMoorad Choudhry\u003c\/b\u003e 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 \u0026amp; Investment. 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 \u003ci\u003eAn Introduction to Value-at-Risk\u003c\/i\u003e 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.\u003cbr\u003eCoverage includes:\u003cbr\u003e \u003cul\u003e \u003cli\u003eDefining value-at-risk\u003c\/li\u003e \u003cli\u003eVariance-covariance methodology\u003c\/li\u003e \u003cli\u003ePortfolio VaR\u003c\/li\u003e \u003cli\u003eCredit risk and credit VaR\u003c\/li\u003e \u003cli\u003eStressed VaR\u003c\/li\u003e \u003cli\u003eCredit valuation adjustment VaR\u003c\/li\u003e \u003cli\u003eVaR during crisis and the way forward\u003c\/li\u003e \u003c\/ul\u003e 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.","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47988731445477,"sku":"NP9781118316726","price":75.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9781118316726.jpg?v=1761781368","url":"https:\/\/k12savings.com\/es\/products\/an-introduction-to-value-at-risk-isbn-9781118316726","provider":"K12savings","version":"1.0","type":"link"}