The 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 Va R 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 Va R, set in the context of risk management as
a whole.
Topics covered include:
* Defining value-at-risk
* Variance-covariance methodology
* Portfolio Va R
* Credit risk and credit Va R
* Stressed Va R
* Critique and Va R during crisis
Topics are illustrated with Bloomberg screens, worked examples
and exercises. 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
risk measurement techniques.
Foreword by Carol Alexander, Professor of Finance, University of
Sussex.
A propos de l’auteur
Moorad Choudhry is an MD in Group Treasury at The Royal Bank of Scotland. He is Visiting Professor at the Department of Mathematical Sciences, Brunel University, Visiting Professor at the IFS-School of Finance, Visiting Teaching Fellow at the Department of Management, Birkbeck, University of London, Vice-Chair of the Board of Directors of PRMIA, and Fellow of the Chartered Institute for Securities & Investment.
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