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Securities Institute [[electronic resource] ] : An introduction to value-at-risk / / Moorad Choudhry ; with a contribution from Max Wong
| Securities Institute [[electronic resource] ] : An introduction to value-at-risk / / Moorad Choudhry ; with a contribution from Max Wong |
| Autore | Choudhry Moorad |
| Edizione | [5th ed.] |
| Pubbl/distr/stampa | Chichester [England], : Wiley, 2013 |
| Descrizione fisica | 1 online resource (226 p.) |
| Disciplina | 658.155 |
| Altri autori (Persone) | WongMax |
| Collana | Securities Institute |
| Soggetto topico | Risk management |
| ISBN |
1-118-31669-X
1-119-20803-3 1-118-31670-3 |
| Classificazione | 85.30 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
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; 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) |
| Record Nr. | UNINA-9910141611203321 |
Choudhry Moorad
|
||
| Chichester [England], : Wiley, 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Securities Institute : An introduction to value-at-risk / / Moorad Choudhry ; with a contribution from Max Wong
| Securities Institute : An introduction to value-at-risk / / Moorad Choudhry ; with a contribution from Max Wong |
| Autore | Choudhry Moorad |
| Edizione | [5th ed.] |
| Pubbl/distr/stampa | Chichester [England], : Wiley, 2013 |
| Descrizione fisica | 1 online resource (226 p.) |
| Disciplina | 658.155 |
| Altri autori (Persone) | WongMax |
| Collana | Securities Institute |
| Soggetto topico | Risk management |
| ISBN |
9781118316696
111831669X 9781119208037 1119208033 9781118316702 1118316703 |
| Classificazione | 85.30 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
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; 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) |
| Record Nr. | UNINA-9910825459903321 |
|
Choudhry Moorad
|
||
| Chichester [England], : Wiley, 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||