Allen
Understanding Market Credit and Operational Risk – The Value at Risk Approach
The Value at Risk Approach
Gebonden Engels 2003 9780631227090
Verwachte levertijd ongeveer 9 werkdagen
Samenvatting
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.
Applies the Value at Risk approach to market, credit, and operational risk measurement.
Illustrates models with real–world case studies.
Features coverage of BIS bank capital requirements.
Specificaties
ISBN13:9780631227090
Taal:Engels
Bindwijze:gebonden
Aantal pagina's:312
Uitgever:John Wiley & Sons
Hoofdrubriek:Financieel management, Financieel management
Lezersrecensies
Wees de eerste die een lezersrecensie schrijft!
Inhoudsopgave
<p>List of Figures xiv</p>
<p>List of Tables xvi</p>
<p>Preface xviii</p>
<p>List of Abbreviations xx</p>
<p>1 Introduction to Value at Risk (VaR) 1</p>
<p>2 Quantifying Volatility in VaR Models 21</p>
<p>3 Putting VaR to Work 82</p>
<p>4 Extending the VaR Approach to Non–tradable Loans 119</p>
<p>5 Extending the VaR Approach to Operational Risks 158</p>
<p>6 Applying VaR to Regulatory Models 200</p>
<p>7 VaR: Outstanding Research 233</p>
<p>Notes 236</p>
<p>References 257</p>
<p>Index 270</p>
<p>List of Tables xvi</p>
<p>Preface xviii</p>
<p>List of Abbreviations xx</p>
<p>1 Introduction to Value at Risk (VaR) 1</p>
<p>2 Quantifying Volatility in VaR Models 21</p>
<p>3 Putting VaR to Work 82</p>
<p>4 Extending the VaR Approach to Non–tradable Loans 119</p>
<p>5 Extending the VaR Approach to Operational Risks 158</p>
<p>6 Applying VaR to Regulatory Models 200</p>
<p>7 VaR: Outstanding Research 233</p>
<p>Notes 236</p>
<p>References 257</p>
<p>Index 270</p>
Anderen die dit kochten, kochten ook
-
Tom Berkhout€ 97,95 -
M.P. Brouwers€ 88,95
-
Clarence van der Putte€ 44,95
-
M.P. Brouwers€ 57,96
-
Corné Kimenai€ 127,00
-
Gijs Hiltermann€ 20,00
Rubrieken
- advisering
- algemeen management
- coaching en trainen
- communicatie en media
- economie
- financieel management
- inkoop en logistiek
- internet en social media
- it-management / ict
- juridisch
- leiderschap
- marketing
- mens en maatschappij
- non-profit
- ondernemen
- organisatiekunde
- personal finance
- personeelsmanagement
- persoonlijke effectiviteit
- projectmanagement
- psychologie
- reclame en verkoop
- strategisch management
- verandermanagement
- werk en loopbaan