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Understanding Market, Credit, and Operational Risk: The Value at Risk Approach

ISBN: 978-0-631-22709-0
Hardcover
312 pages
December 2003, Wiley-Blackwell
List Price: US $72.00
Government Price: US $46.08
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Understanding Market, Credit, and Operational Risk: The Value at Risk Approach (0631227091) cover image
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.

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.
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