Understanding Market, Credit, and Operational Risk: The Value at Risk Approach. Linda Allen, Jacob Boudoukh, Anthony Saunders

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



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



Understanding Market, Credit, and Operational Risk: The Value at Risk Approach Linda Allen, Jacob Boudoukh, Anthony Saunders ebook pdf
Publisher: Wiley-Blackwell
Language: English
Page: 313
ISBN: 0631227091, 9781405142267

Review

"This book is a clear explanation of the science and art of the Value at Risk approach to risk measurement. There is no better explication of both the theory underlying the approach and its practical implementation. It is an invaluable tool to anyone involved in any type of risk management." Mark Zandi, Economy.com

Book Description

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. The text uses VaR techniques to analyze loans, derivatives, equity prices, foreign currencies and other financial instruments. Featuring comprehensive coverage of the BIS bank capital requirements, and including the latest proposals for the New Capital Accord, the book also describes the newest application of VaR techniques to operational risk measurement. The text examines the promise and the pitfalls of these risk measurement models, and makes recommendations for future research into this important area.



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