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Mastering Value Risk Understanding and Applying VAR

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ISBN-10: 0273637525

ISBN-13: 9780273637523

Edition: 1998

Authors: Cormac Butler

List price: $64.99
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Description:

The estimation of potential losses that could arise from adverse changes in market conditions is a key element of risk management. For financial institutions and corporate treasuries across the world, Value at Risk (VaR) is rapidly emerging as the dominant methodology for estimating precisely how much money is at risk each day in the financial markets. However, the communication and application of VaR is a field in which the signal to noise ratio is not high. there is neither a widespread intuitive understanding of VaR in the market, nor an appreciation of the practicalities of its implementation and limitations. Mastering Value at Risk will close that knowledge gap, introducing this potentially powerful methodology to those most in need of its benefits, and helping all those who encounter VaR to use it wisely.
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Book details

List price: $64.99
Copyright year: 1998
Publisher: FT Press
Publication date: 10/15/1998
Binding: Paperback
Pages: 256
Size: 6.75" wide x 9.75" long x 1.00" tall
Weight: 1.188
Language: English

Foreword
Acknowledgments
An Outline of Value at Risk
Value at Risk as a Tool in Supervisory Regulation
Portfolio Risk Measurement
Fixed Income Products
Measuring the Risk of Complex Derivative Products
The Greeks
Option Strategies
Monte Carlo Simulation
Applying VaR Principles to Credit Control
Estimating Volatility for Profitable Trading and Risk Reduction
Real-Life Application of Models
References
Bibliography
Glossary
Index