An Introduction to Value-at-Risk, 4th Edition
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Preface to the First Edition.
About the Author.
1. Introduction to Risk.
2. Volatility and Correlation.
4. Value-At-Risk and Fixed Interest Instruments.
5. Options: Risk and Value-At-Risk.
6. Monte Carlo Simulation and Value-At-Risk.
7. Regulatory Issues and Stress-Testing.
8. Credit Risk and Credit Value-At-Risk.
Case Study and Exercises.
Appendix: Taylor's Expansion.