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Informationen zum Autor 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. Klappentext 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 VaR 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 VaR, set in the context of risk management as a whole.Topics covered include:* Defining value-at-risk* Variance-covariance methodology* Portfolio VaR* Credit risk and credit VaR* Stressed VaR* Critique and VaR during crisisTopics 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. Zusammenfassung 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 VaR 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 VaR, set in the context of risk management as a whole.Topics covered include:* Defining value-at-risk* Variance-covariance methodology* Portfolio VaR* Credit risk and credit VaR* Stressed VaR* Critique and VaR during crisisTopics 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. Inhaltsverzeichnis Foreword xv Preface xvii Preface to the first edition xxi About the author xxiii 1 INTRODUCTION TO RISK 1 Defining risk 2 The elements of risk: characterising risk 3 Forms of market risk 4 Other risks 5 Risk estimation 6 Risk management 7 The risk management function 7 Managing risk 9 Quantitative measurement of risk-reward 9 Standard deviation 10 Sharpe Ratio 10 Van Ratio 11 2 VOLATILITY AND CORRELATION 13 Statistical concepts 14 Arithmetic mean 14 Probability distributions 16 Confidence intervals 18 Volatility 20 The normal distribution and VaR 26 Correlation 28 3 VALUE-AT-RISK 29 What is VaR? 30 Definition 30 Methodology 32 Centralised database 32 Correlation assumptions 33 Correlation method 33 Historical simulation method 34 Monte Carlo simulation method 35 Validity of the volatility-correlatio...
