Understanding Market Credit and Operational Risk 1st edition by Linda Allen, Jacob Boudoukh, Anthony Saunders – Ebook PDF Instant Download/Delivery: 1405142267 , 978-1405142267
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Product details:
ISBN 10: 1405142267
ISBN 13: 978-1405142267
Author: Linda Allen, Jacob Boudoukh, Anthony Saunders
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.
- 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.
Understanding Market Credit and Operational Risk 1st Table of contents:
List of Figures xiv
List of Tables xvi
Preface xviii
List of Abbreviations xx
1 Introduction to Value at Risk (VaR) 1
2 Quantifying Volatility in VaR Models 21
3 Putting VaR to Work 82
4 Extending the VaR Approach to Non-tradable Loans 119
5 Extending the VaR Approach to Operational Risks 158
6 Applying VaR to Regulatory Models 200
7 VaR: Outstanding Research 233
Notes 236
References 257
Index 270
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Tags: Linda Allen, Jacob Boudoukh, Anthony Saunders, Understanding Market, Operational Risk