5th Edition
by Moorad Choudhry (Author), Carol Alexander (Foreword)
The value-at-risk measurement
methodology is a widely-used tool in financial market risk management.
The fifth edition of Professor Moorad Choudhry’s benchmark reference
text An Introduction to Value-at-Risk offers an accessible and
reader-friendly look at the concept of VaR and its different estimation
methods, and is aimed specifically at newcomers to the market or those
unfamiliar with modern risk management practices. The author capitalises
on his experience in the financial markets to present this concise yet
in-depth coverage of VaR, set in the context of risk management as a
whole.
Topics covered include:
- Defining value-at-risk
- Variance-covariance methodology
- Portfolio VaR
- Credit risk and credit VaR
- Stressed VaR
- Critique and VaR during crisis
Topics
are illustrated with Bloomberg screens, worked examples and exercises.
Related issues such as statistics, volatility and correlation are also
introduced as necessary background for students and practitioners. This
is essential reading for all those who require an introduction to
financial market risk management and risk measurement techniques.
Foreword by Carol Alexander, Professor of Finance, University of Sussex.
