| Understanding Market, Credit, and Operational Risk: The Value at Risk Approach Contributor(s): Allen, Linda (Author), Boudoukh, Jacob (Author), Saunders, Anthony (Author) |
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ISBN: 0631227091 ISBN-13: 9780631227090 Publisher: Wiley-Blackwell OUR PRICE: $68.40 Product Type: Hardcover - Other Formats Published: December 2003 Annotation: 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. The 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. |
| Additional Information |
| BISAC Categories: - Business & Economics | Finance - General - Business & Economics | Investments & Securities - Futures - Business & Economics | Insurance - Risk Assessment & Management |
| Dewey: 332.106 |
| LCCN: 2003007540 |
| Physical Information: 1.07" H x 6" W x 9.16" (1.27 lbs) 312 pages |
| Descriptions, Reviews, Etc. |
| Publisher 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.
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