LEADER 05608nam 2200757 a 450 001 9910825459903321 005 20230803025930.0 010 $a9781118316696 010 $a111831669X 010 $a9781119208037 010 $a1119208033 010 $a9781118316702 010 $a1118316703 035 $a(CKB)2670000000353322 035 $a(EBL)1173428 035 $a(SSID)ssj0000907551 035 $a(PQKBManifestationID)12396557 035 $a(PQKBTitleCode)TC0000907551 035 $a(PQKBWorkID)10884490 035 $a(PQKB)11234182 035 $a(PQKBManifestationID)16203323 035 $a(OCoLC)796758580 035 $a(PQKB)23834309 035 $a(MiAaPQ)EBC1173428 035 $a(Au-PeEL)EBL1173428 035 $a(CaPaEBR)ebr10691513 035 $a(CaONFJC)MIL484651 035 $a(OCoLC)850147370 035 $a(Perlego)1000030 035 $a(EXLCZ)992670000000353322 100 $a20130506d2013 uy 0 101 0 $aeng 135 $aurcn||||||||| 181 $ctxt 182 $cc 183 $acr 200 10$aSecurities Institute $eAn introduction to value-at-risk /$fMoorad Choudhry ; with a contribution from Max Wong 205 $a5th ed. 210 $aChichester [England] $cWiley$d2013 215 $a1 online resource (226 p.) 225 1 $aSecurities Institute 300 $aDescription based upon print version of record. 311 08$a9781118316726 311 08$a111831672X 320 $aIncludes bibliographical references and index. 327 $aAN 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 327 $a3 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 327 $aFixed 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; 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 327 $aJump 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 327 $aRatings 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) 327 $aDefault and migration risks: incremental risk charge (IRC) 330 $aThe value-at-risk measurement methodology is a widely-used tool in financial market risk management. The fifth edition of Professor Moorad Choudhry's benchmark reference text An Introduction to Value-at-Risk offers an accessible and reader-friendly look at the concept of VaR and its different estimation methods, and is aimed specifically at newcomers to the market or those unfamiliar with modern risk management practices. The author capitalises on his experience in the financial markets to present this concise yet in-depth coverage of VaR, set in the context of risk management as a 410 0$aSecurities Institute 606 $aRisk management 615 0$aRisk management. 676 $a658.155 686 $a85.30$2bcl 700 $aChoudhry$b Moorad$0151558 701 $aWong$b Max$01635384 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910825459903321 996 $aSecurities Institute$93976118 997 $aUNINA LEADER 01620nam0 22003011i 450 001 UON00053959 005 20231205102238.604 100 $a20020107d1978 |0itac50 ba 101 $atib 102 $aIN 105 $a|||| 1|||| 200 1 $aLa dwags dgon pa rnam kyi lo rgyus padma'i phreng ba$da history of the various establishments of Ladakh called "a rosary of lotuses"$fby Yongs 'dzin dKon mchog bsod nams 210 $aBir$cThe Bir Tibetan Society$d1978-1980 215 $a3 v.$d18 cm 316 $aaltri inv. : 25500 ; 25501$5IT-UONSI TIBVII/034 (1-3) 510 1$3UON00357252$aˆA ‰history of the various establishments of Ladakh called "A rosary of lotuses" 606 $aTIBET (LADAKH)$xSTORIA$3UONC008604$2FI 620 $dBir$3UONL001618 686 $aTIB VII$cTibet - Religione e filosofia$2A 700 0$aDKON mchog bsod nams$3UONV034213$0652245 712 $aBir Tibetan Society$3UONV254488$4650 801 $aIT$bSOL$c20250711$gRICA 912 $aUON00053959 950 $aSIBA - SISTEMA BIBLIOTECARIO DI ATENEO$dSI TIB VII 034 (1-3) $eSI SA 22654 5 034 (1-3) altri inv. : 25500 ; 25501 950 $aSIBA - SISTEMA BIBLIOTECARIO DI ATENEO$dSI TIB VII 034 2 $eSI SA 25500 5 034 2 950 $aSIBA - SISTEMA BIBLIOTECARIO DI ATENEO$dSI TIB VII 034 3 $eSI SA 25501 5 034 3 996 $aLa dwags dgon pa rnam kyi lo rgyus padma'i phreng ba$91150553 997 $aUNIOR