An Introduction to Value-at-Risk, 4th Edition
Topics covered include:
- Defining value-at-risk
- Variance-covariance methodology
- Monte Carlo simulation
- Portfolio VaR
- Credit risk and credit VaR
Topics are illustrated with Bloomberg screens, worked examples, exercises and case studies. Related issues such as statistics, volatility and correlation are also introduced as necessary background for students and practitioners. This is essential reading for all those who require an introduction to financial market risk management and value-at-risk.
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.