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1. |
Record Nr. |
UNINA9910141611203321 |
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Autore |
Choudhry Moorad |
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Titolo |
Securities Institute [[electronic resource] ] : An introduction to value-at-risk / / Moorad Choudhry ; with a contribution from Max Wong |
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Pubbl/distr/stampa |
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Chichester [England], : Wiley, 2013 |
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ISBN |
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1-118-31669-X |
1-119-20803-3 |
1-118-31670-3 |
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Edizione |
[5th ed.] |
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Descrizione fisica |
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1 online resource (226 p.) |
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Collana |
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Classificazione |
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Altri autori (Persone) |
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Disciplina |
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Soggetti |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Description based upon print version of record. |
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Nota di bibliografia |
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Includes bibliographical references and index. |
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Nota di contenuto |
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AN INTRODUCTION TO VALUE-AT-RISK; Concentration limits; CONTENTS; Foreword; Preface; Preface to the first edition; About the author; 1 INTRODUCTION TO RISK; Defining risk; The elements of risk: characterizing risk; Forms of market risk; Other risks; Risk estimation; Risk management; The risk management function; Managing risk; Quantitative measurement of risk-reward; Standard deviation; Sharpe Ratio; Van Ratio; 2 VOLATILITY AND CORRELATION; Statistical concepts; Arithmetic mean; Probability distributions; Confidence intervals; Volatility; The normal distribution and VaR; Correlation |
3 VALUE-AT-RISK What is VaR?; Definition; Methodology; Centralised database; Correlation assumptions; Correlation method; Historical simulation method; Monte Carlo simulation method; Validity of the volatility-correlation VaR estimate; How to calculate VaR; Historical method; Simulation method; Variance-covariance, analytic or parametric method; Mapping; Confidence intervals; Comparison between methods; Choosing between methods; Comparison with the historical approach; Comparing VaR calculation for different methodologies; Summary; 4 VALUE-AT-RISK FOR FIXED INTEREST INSTRUMENTS |
Fixed income products Bond valuation; Duration; Modified duration; Convexity; Interest rate products; Forward rate agreements; Fixed income portfolio; Applying VaR for a FRA; VaR for an interest rate swap; |
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Applying VaR for a bond futures contract; Calculation illustration; The historical method; Simulation methodology; Volatility over time; Application; Bloomberg screens; 5 OPTIONS: RISK AND VALUE-AT-RISK; Option valuation using the Black-Scholes model; Option pricing; Volatility; The Greeks; Delta; Gamma; Vega; Other Greeks; Risk measurement; Spot ladder; Maturity ladder; Across-time ladder |
Jump risk Applying VaR for Options; 6 MONTE CARLO SIMULATION AND VALUE-AT-RISK; Introduction: Monte Carlo simulation; Option value under Monte Carlo; Monte Carlo distribution; Monte Carlo simulation and VaR; 7 REGULATORY ISSUES AND STRESS-TESTING; Capital adequacy; Model compliance; CAD II; Specific risk; Back-testing; Stress-testing; Simulating stress; Stress-testing in practice; Issues in stress-testing; The crash and Basel III; Stressed VaR; 8 CREDIT RISK AND CREDIT VALUE-AT-RISK; Types of credit risk; Credit spread risk; Credit default risk; Credit ratings; Credit ratings |
Ratings changes over time Corporate recovery rates; Credit derivatives; Measuring risk for a CDS contract; Modelling credit risk; Time horizon; Data inputs; Credit Metrics; Methodology; Time horizon; Calculating the credit VaR; CreditRisk+; Applications of credit VaR; Prioritising risk-reducing actions; Standard credit limit setting; Integrating the credit risk and market risk functions; 9 A REVIEW OF VALUE-AT-RISK; VaR in Crisis; Weaknesses Revealed; Market risk; Credit risk; Portfolio effects; New Regulation and Development; Procyclicality: stressed VaR (SVaR) |
Default and migration risks: incremental risk charge (IRC) |
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Sommario/riassunto |
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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 |
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2. |
Record Nr. |
UNISA996197339403316 |
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Titolo |
Handbook of fruits and fruit processing [[electronic resource] /] / editor, Y.H. Hui ; associate editors, József Barta ... [et al.] |
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Pubbl/distr/stampa |
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Ames, Iowa, : Blackwell Pub., 2006 |
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ISBN |
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1-282-36546-0 |
9786612365461 |
1-61344-820-1 |
0-470-27773-4 |
0-470-27648-7 |
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Edizione |
[1st ed.] |
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Descrizione fisica |
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1 online resource (711 p.) |
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Altri autori (Persone) |
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HuiY. H (Yiu H.) |
BartaJózsef |
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Disciplina |
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Soggetti |
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Food industry and trade |
Fruit processing plants |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Description based upon print version of record. |
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Nota di bibliografia |
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Includes bibliographical references and index. |
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Nota di contenuto |
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Handbook of Fruits and Fruit Processing; Contents; Contributors; Preface; Part I Processing Technology; 1. Fruit Microbiology; 2. Nutritional Values of Fruits; 3. Fruit Processing: Principles of Heat Treatment; 4. Fruit Freezing Principles; 5. Fruit Drying Principles; 6. Non-Thermal Pasteurization of Fruit Juice Using High Voltage Pulsed Electric Fields; 7. Minimally Processed Fruits and Fruit Products and Their Microbiological Safety; 8. Fresh-Cut Fruits; 9. Food Additives in Fruit Processing; 10. Fruit Processing Waste Management; Part II Products Manufacturing |
11. Manufacturing Jams and Jellies 12. Manufacturing Fruit Beverages; 13. Fruit as an Ingredient in a Fruit Product; 14. Fruit Processing Plant; 15. Fruits: Sanitation and Safety; Part III Commodity Processing; 16. Apples; 17. Apricots; 18. Horticultural and Quality Aspects of Citrus Fruits; 19. Oranges and Citrus Juices; 20. Sweet Cherries; 21. Cranberry, Blueberry, Currant, and Gooseberry; 22. Date Fruits Production and Processing; 23. Grape Juice; 24. Grapes and Raisins |
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25. Grape and Wine Biotechnology: Setting New Goals for the Design of Improved Grapevines, Wine Yeast, and Malolactic Bacteria 26. Olive Processing; 27. Peach and Nectarine; 28. Pear Drying; 29. Plums and Prunes; 30. Processing of Red Pepper Fruits (Capsicum annuum L.) for Production of Paprika and Paprika Oleoresin; 31. Strawberries and Raspberries; 32. Tropical Fruits: Guava, Lychee, and Papaya; 33. Banana, Mango, and Passion Fruit; 34. Nutritional and Medicinal Uses of Prickly Pear Cladodes and Fruits: Processing Technology Experiences and Constraints |
35. Speciality Fruits Unique to HungaryIndex |
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Sommario/riassunto |
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The processing of fruits continues to undergo rapid change. In the Handbook of Fruits and Fruit Processing, Dr. Y.H. Hui and his editorial team have assembled over forty respected academicians and industry professionals to create an indispensable resource on the scientific principles and technological methods for processing fruits of all types. The book describes the processing of fruits from four perspectives: a scientific basis, manufacturing and engineering principles, production techniques, and processing of individual fruits. A scientific knowledge of the horticulture |
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