Understanding Market, Credit, and Operational Risk: The Value at Risk Approach
Editorial Reviews
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.
From the Author
Anthony Saunders is John M. Schiff Professor of Finance and Chair of the Department of Finance at the Stern School of Business, New York University.
Jacob Boudoukh is Professor of Finance and the founding director of the Caesarea Edmond Benjamin de Rothschild Center for Capital Markets and Risk Management at the Arison School of Business, IDC.
Linda Allen is Professor of Finance at the Zicklin School of Business at Baruch College, City University of New York and Adjunct Professor of Finance at the Stern School of Business, New York University.
Understanding Market, Credit, and Operational Risk : The Value at Risk Approach,Anthony Saunders,Jacob Boudoukh,Linda Allen,Blackwell Publishing, Incorporated,0631227091,Business & Economics,Business / Economics / Finance,Business/Economics,Finance,Financial futures,Insurance - Risk Assessment & Management,Investments & Securities - Futures,Operational risk,Risk management,Statistics,Business & Economics / Investments & Securities
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