Understanding Market Credit and Operational Risk The Value at Risk Approach 1st Edition by Linda Allen, Jacob Boudoukh, Anthony Saunders ISBN 978-0631227090 0631227091
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Understanding Market Credit and Operational Risk The Value at Risk Approach 1st Edition by Linda Allen, Jacob Boudoukh, Anthony Saunders – Ebook PDF Instant Download/Delivery: 978-0631227090, 0631227091
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Product details:
ISBN 10: 0631227091
ISBN 13: 978-0631227090
Author: Linda Allen, Jacob Boudoukh, Anthony Saunders
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.
Table of contents:
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Introduction to Value at Risk (VaR)
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Quantifying Volatility in VaR Models
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Putting VaR to Work
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Extending the VaR Approach to Non-tradable Loans
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Extending the VaR Approach to Operational Risks
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Applying VaR to Regulatory Models
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VaR: Outstanding Research
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Tags: Linda Allen, Jacob Boudoukh, Anthony Saunders, Understanding Market, Operational Risk, Risk Approach