Understanding Market, Credit, and Operational Risk: The Value at Risk ApproachISBN: 978-0-631-22709-0
Hardcover
312 pages
December 2003, Wiley-Blackwell
This is a Print-on-Demand title. It will be printed specifically to fill your order. Please allow an additional 10-15 days delivery time. The book is not returnable.
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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.