{"product_id":"understanding-market-credit-and-operational-risk-isbn-9780631227090","title":"Understanding Market, Credit, and Operational Risk","description":"A step-by-step, real world guide to the use of Value at Risk (VaR) models, this text applies the VaR approach to the measurement of market risk, credit risk and operational risk. The book describes and critiques proprietary models, illustrating them with practical examples drawn from actual case studies. Explaining the logic behind the economics and statistics, this technically sophisticated yet intuitive text should be an essential resource for all readers operating in a world of risk. \u003cbr\u003e \u003cul\u003e \u003cli style=\"list-style: none\"\u003e\n\u003cbr\u003e \u003c\/li\u003e \u003cli\u003eApplies the Value at Risk approach to market, credit, and operational risk measurement.\u003cbr\u003e \u003c\/li\u003e \u003cli\u003eIllustrates models with real-world case studies.\u003cbr\u003e \u003c\/li\u003e \u003cli\u003eFeatures coverage of BIS bank capital requirements.\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003eList of Figures xiv\u003c\/p\u003e \u003cp\u003eList of Tables xvi\u003c\/p\u003e \u003cp\u003ePreface xviii\u003c\/p\u003e \u003cp\u003eList of Abbreviations xx\u003c\/p\u003e \u003cp\u003e1 Introduction to Value at Risk (VaR) 1\u003c\/p\u003e \u003cp\u003e2 Quantifying Volatility in VaR Models 21\u003c\/p\u003e \u003cp\u003e3 Putting VaR to Work 82\u003c\/p\u003e \u003cp\u003e4 Extending the VaR Approach to Non-tradable Loans 119\u003c\/p\u003e \u003cp\u003e5 Extending the VaR Approach to Operational Risks 158\u003c\/p\u003e \u003cp\u003e6 Applying VaR to Regulatory Models 200\u003c\/p\u003e \u003cp\u003e7 VaR: Outstanding Research 233\u003c\/p\u003e \u003cp\u003eNotes 236\u003c\/p\u003e \u003cp\u003eReferences 257\u003c\/p\u003e \u003cp\u003eIndex 270\u003c\/p\u003e \"This book is a clear explanation of the science and art of the Value at Risk approach to risk measurement. There is no better explication of both the theory underlying the approach and its practical implementation. It is an invaluable tool to anyone involved in any type of risk management.\" \u003ci\u003eMark Zandi, Economy.com\u003c\/i\u003e \u003c!--end--\u003e  \u003cb\u003eLinda Allen\u003c\/b\u003e is Professor of Finance at the Zicklin School of Business at Baruch College, City University of New York, and Adjunct Professor of Finance at the Stern School of Business, New York University. She is also the author of \u003ci\u003eCapital Markets and Institutions: A Global View\u003c\/i\u003e and co-author of \u003ci\u003eCredit Risk Measurement: New Approaches to Value at Risk and Other Paradigms,\u003c\/i\u003e (2nd edition). She is an associate editor of the \u003ci\u003eJournal of Banking and Finance\u003c\/i\u003e, \u003ci\u003eJournal of Economics and Business\u003c\/i\u003e, and \u003ci\u003eMultinational Finance Journal,\u003c\/i\u003e and has published extensively in top academic journals in finance and economics.  \u003cp\u003e\u003cb\u003eJacob Boudoukh\u003c\/b\u003e is Professor of Finance and the founding director of theCaesarea Edmond Benjamin de Rothschild Center for Capital Markets and Risk Management at the Arison School of Business, IDC; as well as holding positions at the Stern School of Business, New York University. ormerly formerly with and currently visiting Stern-NYU; and a member of the NBER. His work has been published in academic journals such as \u003ci\u003eThe American Economic Review,\u003c\/i\u003e and \u003ci\u003eThe Journal of Financial Economics\u003c\/i\u003e, as well as practitioner journals such as \u003ci\u003eRisk\u003c\/i\u003e.\u003cb\u003eAnthony Saunders\u003c\/b\u003e is John M. Schiff Professor of Finance and Chair of the Department of Finance at the Stern School of Business, and Economics and Finance Department Chair at New York University. He is also editor of the \u003ci\u003eJournal of Banking and Finance\u003c\/i\u003e and the \u003ci\u003eJournal of Financial Markets, Institutions and Instruments\u003c\/i\u003e, and has published \u003ci\u003eFinancial Institutions and Management\u003c\/i\u003e (2nd4th edition)\u003ci\u003e.\u003c\/i\u003e Professor Saunders has published widely in top journals such as \u003ci\u003eJournal of Finance\u003c\/i\u003e.\u003c\/p\u003e  A step-by-step, real-world guide to the use of Value at Risk (VaR) models, this text applies the VaR approach to the measurement of market risk, credit risk, and operational risk. The book describes and critiques proprietary models, illustrating them with practical examples drawn from actual case studies. Explaining the logic behind the economics and statistics, this technically sophisticated yet intuitive text should be an essential resource for all readers operating in a world of risk.\u003cbr\u003e \u003cp\u003eThe text uses VaR techniques to analyze loans, derivatives, equity prices, foreign currencies and other financial instruments. Featuring comprehensive coverage of the BIS bank capital requirements, and including the latest proposals for the New Capital Accord, the book also describes the newest application of VaR techniques to operational risk measurement. The text examines the promise and the pitfalls of these risk measurement models, and makes recommendations for future research into this important area.\u003c\/p\u003e","brand":"Wiley-Blackwell","offers":[{"title":"Default Title","offer_id":47990431187173,"sku":"NP9780631227090","price":72.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9780631227090.jpg?v=1761787799","url":"https:\/\/k12savings.com\/products\/understanding-market-credit-and-operational-risk-isbn-9780631227090","provider":"K12savings","version":"1.0","type":"link"}