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

2.6/5 ( ratings)

A step-by-step, real world guide to the use of Value at Risk 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.

Pages: 312

Format: Hardcover

Publisher: Wiley-Blackwell

Release: December 30, 2003

ISBN: 0631227091

ISBN 13: 9780631227090

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

2.6/5 ( ratings)

A step-by-step, real world guide to the use of Value at Risk 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.

Pages: 312

Format: Hardcover

Publisher: Wiley-Blackwell

Release: December 30, 2003

ISBN: 0631227091

ISBN 13: 9780631227090

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