An introduction to value-at-risk
The value-at-risk measurement methodology is a widely-used tool in financial market risk management. The fourth 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...
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| Formato: | Libro electrónico |
| Idioma: | Inglés |
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Chichester, England ; Hoboken, NJ :
John Wiley
2006.
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| Edición: | 4th ed |
| Colección: | Securities Institute
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| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009627182906719 |
Tabla de Contenidos:
- COVER; CONTENTS; Foreword; Preface; Preface to the first edition; About the author; 1: INTRODUCTION TO RISK; Defining risk; The elements of risk: characterising risk; Forms of market risk; Other risks; Risk estimation; RISK MANAGEMENT; The risk management function; Managing risk; Quantitative measurement of risk; Standard deviation; Sharpe Ratio; Van RatioRatio; 2: VOLATILITY AND CORRELATION; Statistical concepts; Arithmetic mean; Probability distributions; Confidence intervals; Volatility; The normal distribution and VaR; Correlation; 3: VALUE-AT-RISK; What is VaR?; Definition; Methodology
- Centralised databaseCorrelation assumptions; Correlation method; Historical simulation method; Monte Carlo simulation method; Validity of the volatility-correlation VaR estimate; How to calculate value-at-risk; Historical method; Simulation method; Variance-covariance, analytic or parametric method; Mapping; Confidence intervals; Comparison between methods; Choosing between methods; Comparison with the historical approach; Other market methodologies; Use of VaR models; Hypothetical portfolio VaR testing; Bank of England comparison of VaR models; Summary
- 4: VALUE-AT-RISK FOR FIXED INTEREST INSTRUMENTSFixed income products; Bond valuation; Duration; Modified duration; Convexity; Interest rate products; Forward rate agreements; Fixed income portfolio; Applying VaR for a FRA; VaR for an interest rate swap; Applying VaR for a bond futures contract; Calculation illustration; The historical method; Simulation methodology; Volatility over time; Application; Bloomberg screens; 5: OPTIONS: RISK AND VALUE-AT-RISK; Option valuation using the Black-Scholes model; Option pricing; Volatility; The Greeks; Delta; Gamma; Vega; Other Greeks; Risk measurement
- Spot ladderMaturity ladder; Across-time ladder; Jump risk; Applying VaR for Options; 6: MONTE CARLO SIMULATION AND VALUE-AT-RISK; Introduction: Monte Carlo simulation; Option value under Monte Carlo; Monte Carlo distribution; Monte Carlo simulation and VaR; 7: REGULATORY ISSUES AND STRESS-TESTING; Capital adequacy; Model compliance; CAD II; Specific risk; Back-testing; Stress-testing; Simulating stress; Stress-testing in practice; Issues in stress-testing; 8: CREDIT RISK AND CREDIT VALUE-AT-RISK; Types of credit risk; Credit spread risk; Credit default risk; Credit ratings; Credit ratings
- Ratings changes over timeCorporate recovery rates; Credit derivatives; Measuring risk for a CDS contract; Modelling credit risk; Time horizon; Data inputs; CreditMetrics; Methodology; Time horizon; Calculating the credit VaR; CreditRisk; Applications of credit VaR; Prioritising risk-reducing actions; Standard credit limit setting; Concentration limits; Integrating the credit risk and market risk functions; Case Study and Exercises; Appendix: Taylor's Expansion; Abbreviations; Selected bibliography; Index
