An Introduction to Value at Risk 4e
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More About This Title An Introduction to Value at Risk 4e
English
Dr. Moorad Choudhry is Head of Treasury at KBC Financial Products in London. He is a Visiting Professor at the Department of Economics, London Metropolitan University, a Visiting Research Fellow at the ICMA Centre, University of Reading, a Senior Fellow at the Centre for Mathematical Trading and Finance, Cass Business School, and a Fellow of the Securities and Investment Institute.
English
Foreword.
Preface.
Preface to the First Edition.
About the Author.
1. Introduction to Risk.
2. Volatility and Correlation.
3. Value-At-Risk.
4. Value-At-Risk and Fixed Interest Instruments.
5. Options: Risk and Value-At-Risk.
6. Monte Carlo Simulation and Value-At-Risk.
7. Regulatory Issues and Stress-Testing.
8. Credit Risk and Credit Value-At-Risk.
Case Study and Exercises.
Appendix: Taylor's Expansion.
Abbreviations.
Selected Bibliography.
Index.
