An Introduction To Value At Risk

An Introduction to Value at Risk PDF Book Detail:
Author: Moorad Choudhry
Publisher: John Wiley & Sons
ISBN: 111831672X
Size: 78.16 MB
Format: PDF, Mobi
Category : Business & Economics
Languages : en
Pages : 224
View: 7766

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Book Description: This is an essential introduction to modern financial market risk management. Completely updated with the latest in the field, the book includes all new material on VaR in bank incremental default risk charge calculation, and Basel III and use of VaR in regulatory capital analysis. Capitalizing on his experience in the financial markets, the author illustrates topics with Bloomberg screens, worked examples, exercises, and case studies. Ideal for students and practitioners, the book additionally covers related issues such statistics and volatility and correlation. With a foreword by Carol Alexander and a contributing chapter from Max Wong.

Mastering Value At Risk

Mastering Value at Risk PDF Book Detail:
Author: Cormac Butler
Publisher: Financial Times/Prentice Hall
ISBN: 9780273637523
Size: 18.98 MB
Format: PDF, Docs
Category : Business & Economics
Languages : en
Pages : 241
View: 5781

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Book Description: Value at Risk (VAR) is rapidly emerging as the dominant methodology for estimating precisely how much money is at risk each day in the financial markets. This book provides an objective view of VAR, analyzing its pitfalls and benefits.

An Introduction To Value At Risk

An Introduction to Value at Risk PDF Book Detail:
Author: Moorad Choudhry
Publisher: John Wiley & Sons
ISBN: 111831669X
Size: 61.52 MB
Format: PDF, ePub
Category : Business & Economics
Languages : en
Pages : 224
View: 7535

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Book Description: The value-at-risk measurement methodology is a widely-used toolin financial market risk management. The fifth edition of ProfessorMoorad Choudhry’s benchmark reference text An Introductionto Value-at-Risk offers an accessible and reader-friendly lookat the concept of VaR and its different estimation methods, and isaimed specifically at newcomers to the market or those unfamiliarwith modern risk management practices. The author capitalises onhis experience in the financial markets to present this concise yetin-depth coverage of VaR, set in the context of risk management asa 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 examplesand exercises. Related issues such as statistics, volatility andcorrelation are also introduced as necessary background forstudents and practitioners. This is essential reading for all thosewho require an introduction to financial market risk management andrisk measurement techniques. Foreword by Carol Alexander, Professor of Finance, University ofSussex.

An Introduction To Value At Risk Fourth Edition

An Introduction to Value At Risk  Fourth Edition PDF Book Detail:
Author: Moorad Choudhry
Publisher:
ISBN:
Size: 60.69 MB
Format: PDF, Mobi
Category : Business enterprises
Languages : en
Pages : 192
View: 2011

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Book Description: The value-at-risk measurement methodology is a widely-used tool in financial market risk management. The fourth 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 Monte Carlo simulation Portfolio VaR Credit risk and credit VaR Topics are illustrated with Bloomberg screens, worked examples, exercises and case studies. 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 value-at-risk.

Limitsysteme Auf Basis Des Value At Risk In Banken

Limitsysteme auf Basis des Value at Risk in Banken PDF Book Detail:
Author: Michael Frick
Publisher: GRIN Verlag
ISBN: 3638534251
Size: 37.13 MB
Format: PDF, ePub, Mobi
Category : Business & Economics
Languages : de
Pages : 47
View: 5620

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Book Description: Studienarbeit aus dem Jahr 2005 im Fachbereich BWL - Investition und Finanzierung, Note: 1,7, Katholische Universität Eichstätt-Ingolstadt (Wirtschaftswissenschaftliche Fakultät), Veranstaltung: Seminar: Performancemessung und Banksteuerung, 19 Quellen im Literaturverzeichnis, Sprache: Deutsch, Abstract: In der Vergangenheit zeigten sich viele Beispiele, in denen ein ungenügendes Risikomanagement zu Finanzkrisen in Unternehmen wie Metallgesellschaft AG (1993), Baring’s (1995)etc. geführt hat. Vor diesem Hintergrund und aufgrund aktueller Entwicklungen wie die Liberalisierung der Finanzmärkte, Entwicklung von Finanzinnovationen und vor allem der bankaufsichtsrechtlichen Neuregelungen werdenhöhere Anforderungenan dasbankinterne Erfolgs- und Risikomanagementgestellt. Sowohl der effiziente Einsatz von Risikokapital als auch die Limitierung von Risiken sind essenziell im Bankgeschäft. Dabei nimmt dieBedeutung des Value-at-Risk(VaR) als Risikomaß zu. Durch die kürzlich eingeführte bankaufsichtsrechtliche Anerkennung des VaR wurde seine breite Akzeptanz entscheidend gesteigert. Dies führte neben einer Anregung zur Messung der Risiken innerhalb der Banken auch zu einer Forderung nach Limitierung von Risiken durch den VaR. Vor allem der Handelsbereich innerhalb einer Bank ist hiervon betroffen. Ein konsistentes Limitsystem auf Basis des VaR führt zu organisatorischer Vereinfachung und effizienteren Ergebnissen. Bisherige Limitsysteme durch Volumenbeschränkung der Positionen berücksichtigen das Risiko nur unzureichend, weswegen eine Weiterentwicklung den Einsatz des VaR als Basis für ein vorteilhaftes Limitsystem benötigt. Trotzdem beschäftigt sich die Forschung hauptsächlich mit der Risikomessung und weniger mit der Risikosteuerung. Diese Arbeit soll den Einsatz vonVaRLimitsystemen als Instrumentender Risikosteuerungdarstellen. Ziel dieser Arbeit ist es, zu zeigen, welche Möglichkeiten bestehen, ein schlüssiges VaR-Limitsystem in Banken und dabei vor allem im Eigenhandelsbereich einzurichten. [...]

Risk Measurement

Risk Measurement PDF Book Detail:
Author: Thomas J. Linsmeier
Publisher:
ISBN:
Size: 26.42 MB
Format: PDF, Docs
Category : Business
Languages : en
Pages : 45
View: 5326

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Book Description: This paper is a self-contained introduction to the concept and methodology of "value at risk," which is a new tool for measuring an entity's exposure to market risk. We explain the concept of value at risk, and then describe in detail the three methods for computing it: historical simulation; the variance-covariance method; and Monte Carlo or stochastic simulation. We then discuss the advantages and disadvantages of the three methods for computing value at risk. Finally, we briefly describe some alternative measures of market risk.

Risikomanagement

Risikomanagement PDF Book Detail:
Author: Uwe Götze
Publisher: Springer-Verlag
ISBN: 3642575870
Size: 31.74 MB
Format: PDF
Category : Business & Economics
Languages : de
Pages : 492
View: 1089

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Book Description: Mit Beiträgen zahlreicher Fachwissenschaftler

Value At Risk Basiertes Risikomanagement In Banken

Value at Risk basiertes Risikomanagement in Banken PDF Book Detail:
Author: Burkhard Eisele
Publisher: Springer-Verlag
ISBN: 9783824482078
Size: 22.53 MB
Format: PDF
Category : Business & Economics
Languages : de
Pages : 311
View: 5776

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Book Description: Der Value-at-Risk hat innerhalb kurzer Zeit erhebliche Bedeutung im Rahmen der Marktrisikomessung erlangt. Dies wurde begünstigt durch die im Bankenaufsichtsrecht gegebene Möglichkeit, zur Eigenmittelunterlegung von Marktrisiko-Positionen interne Risikomodelle auf Value-at-Risk-Basis einzusetzen. Burkhard Eisele präsentiert erstmals einen konsistenten und wissenschaftlich fundierten Ansatz für ein Value-at-Risk-basiertes Risikomanagement, das interne und aufsichtsrechtliche Anforderungen berücksichtigt. Zunächst wird der Value-at-Risk in das Modell der Portfolio Selection einbezogen und es werden die Bedingungen für die Value-at-Risk-Optimalität abgeleitet. Der Autor analysiert dann, wie bei Dezentralisierung der Anlageentscheidungen der Prozess einer Risikokapitalallokation und Risikolimitierung zu gestalten ist, der die maßgeblichen aufsichtsrechtlichen Normen erfüllt. Auf der Grundlage einer Simulationsstudie werden abschließend alternative Risikolimitsysteme beurteilt.

Introduction To Value At Risk

Introduction to Value at Risk PDF Book Detail:
Author: Moorad Choudhry
Publisher:
ISBN: 9781900520638
Size: 47.26 MB
Format: PDF, Docs
Category : Financial futures
Languages : en
Pages : 176
View: 4186

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Book Description: The value-at-risk measurement methodology is a widely-used tool in financial market risk management. The fourth 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-riskVariance-covariance methodologyMonte Carlo simulationPortfolio VaRCredit risk and credit VaR Topics are illustrated with Bloomberg screens, worked examples, exercises and case studies. 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 value-at-risk.

Market Risk Analysis Value At Risk Models

Market Risk Analysis  Value at Risk Models PDF Book Detail:
Author: Carol Alexander
Publisher: John Wiley & Sons
ISBN: 047074507X
Size: 57.11 MB
Format: PDF, ePub, Mobi
Category : Business & Economics
Languages : en
Pages : 492
View: 5737

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Book Description: Written by leading market risk academic, Professor Carol Alexander, Value-at-Risk Models forms part four of the Market Risk Analysis four volume set. Building on the three previous volumes this book provides by far the most comprehensive, rigorous and detailed treatment of market VaR models. It rests on the basic knowledge of financial mathematics and statistics gained from Volume I, of factor models, principal component analysis, statistical models of volatility and correlation and copulas from Volume II and, from Volume III, knowledge of pricing and hedging financial instruments and of mapping portfolios of similar instruments to risk factors. A unifying characteristic of the series is the pedagogical approach to practical examples that are relevant to market risk analysis in practice. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM . Empirical examples and case studies specific to this volume include: Parametric linear value at risk (VaR)models: normal, Student t and normal mixture and their expected tail loss (ETL); New formulae for VaR based on autocorrelated returns; Historical simulation VaR models: how to scale historical VaR and volatility adjusted historical VaR; Monte Carlo simulation VaR models based on multivariate normal and Student t distributions, and based on copulas; Examples and case studies of numerous applications to interest rate sensitive, equity, commodity and international portfolios; Decomposition of systematic VaR of large portfolios into standard alone and marginal VaR components; Backtesting and the assessment of risk model risk; Hypothetical factor push and historical stress tests, and stress testing based on VaR and ETL.