An Introduction to Value at Risk 5th edition by Moorad Choudhry – Ebook PDF Instant Download/Delivery:1118316726 , 978-1118316726
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ISBN 10: 1118316726
ISBN 13: 978-1118316726
Author: Moorad Choudhry
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.
An Introduction to Value at Risk 5th Table of contents:
1 INTRODUCTION TO RISK
Defining risk
The elements of risk: characterising risk
Forms of market risk
Other risks
Risk estimation
Risk management
The risk management function
Managing risk
Quantitative measurement of risk–reward
Standard deviation
Sharpe Ratio
Van Ratio
2 VOLATILITY AND CORRELATION
Statistical concepts
Arithmetic mean
Probability distributions
Confidence intervals
Volatility
The normal distribution and VaR
Correlation
3 VALUE-AT-RISK
What is VaR?
Definition
Methodology
Centralised database
Correlation assumptions
Correlation method
Historical simulation method
Monte Carlo simulation method
Validity of the volatility-correlation VaR estimate
How to calculate VaR
Historical method
Simulation method
Variance–covariance, analytic or parametric method
Mapping
Confidence intervals
Comparison between methods
Choosing between methods
Comparison with the historical approach
Comparing VaR calculation for different methodologies
Summary
4 VALUE-AT-RISK FOR FIXED INTEREST INSTRUMENTS
Fixed income products
Bond valuation
Duration
Modified duration
Convexity
Interest rate products
Forward rate agreements
Fixed income portfolio
Applying VaR for a FRA
VaR for an interest rate swap
Applying VaR for a bond futures contract
Calculation illustration
The historical method
Simulation methodology
Volatility over time
Application
Bloomberg screens
5 OPTIONS: RISK AND VALUE-AT-RISK
Option valuation using the Black–Scholes model
Option pricing
Volatility
The Greeks
Delta
Gamma
Vega
Other Greeks
Risk measurement
Spot ladder
Maturity ladder
Across-time ladder
Jump risk
Applying VaR for Options
6 MONTE CARLO SIMULATION AND VALUE-AT-RISK
Introduction: Monte Carlo simulation
Option value under Monte Carlo
Monte Carlo distribution
Monte Carlo simulation and VaR
7 REGULATORY ISSUES AND STRESS-TESTING
Capital adequacy
Model compliance
CAD II
Specific risk
Back-testing
Stress-testing
Simulating stress
Stress-testing in practice
Issues in stress-testing
The crash and Basel III
Stressed VaR
8 CREDIT RISK AND CREDIT VALUE-AT-RISK
Types of credit risk
Credit spread risk
Credit default risk
Credit ratings
Ratings changes over time
Corporate recovery rates
Credit derivatives
Measuring risk for a CDS contract
Modelling credit risk
Time horizon
Data inputs
CreditMetrics
Methodology
Time horizon
Calculating the credit VaR
CreditRiskþ
Applications of credit VaR
Prioritising risk-reducing actions
Standard credit limit setting
Concentration limits
Integrating the credit risk and market risk functions
9 A REVIEW OF VALUE-AT-RISK
VaR in Crisis
Weaknesses Revealed
Market risk
Credit risk
Portfolio effects
New Regulation and Development
Procyclicality: stressed VaR (SVaR)
Default and migration risks: incremental risk charge (IRC)
Liquidity risks: differing liquidity horizons
Counterparty risks: CVA VaR
Fat tail risk: over-buffering
New framework for trading book
Beyond the Current Paradigm
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