Mastering Value Risk Understanding and Applying VAR

Name: Mastering Value Risk Understanding and Applying VAR
Price: 94.9 USD
Availability: InStock
ISBN: 9780273637523

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…

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