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    Mastering Value at Risk: A Step-by-Step Guide to Understanding and Applying VAR (Market Editions) (Paperback) By (author) Cormac Butler

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    DescriptionThe estimation of potential losses that could arise from adverse changes in market conditions is a key element of risk management. For financial institutions and corporate treasuries across the world, 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. However, the communication and application of VaR is a field in which the signal to noise ratio is not high. there is neither a widespread intuitive understanding of VaR in the market, nor an appreciation of the practicalities of its implementation and limitations. Mastering Value at Risk will close that knowledge gap, introducing this potentially powerful methodology to those most in need of its benefits, and helping all those who encounter VaR to use it wisely.


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    Title
    Mastering Value at Risk
    Subtitle
    A Step-by-Step Guide to Understanding and Applying VAR
    Authors and contributors
    By (author) Cormac Butler
    Physical properties
    Format: Paperback
    Number of pages: 256
    Width: 173 mm
    Height: 229 mm
    Thickness: 18 mm
    Weight: 318 g
    Language
    English
    ISBN
    ISBN 13: 9780273637523
    ISBN 10: 0273637525
    Classifications

    BIC E4L: BUS
    B&T Book Type: NF
    Nielsen BookScan Product Class 3: S4.2
    B&T Merchandise Category: TXT
    B&T Modifier: Subject Development: 20
    B&T Modifier: Region of Publication: 03
    BIC subject category V2: KJC, KFFM
    B&T General Subject: 180
    Ingram Subject Code: BE
    Libri: I-BE
    B&T Modifier: Academic Level: 03
    BISAC V2.8: BUS027000
    Warengruppen-Systematik des deutschen Buchhandels: 27840
    LC subject heading:
    DC21: 332.64
    BISAC V2.8: BUS036000
    LC subject heading:
    BISAC V2.8: BUS001000
    B&T Approval Code: A47501000
    BISAC V2.8: BUS017000
    DC22: 658.155
    LC subject heading:
    DC22: 658.15/5
    LC subject heading:
    LC classification: HG4529 .B88 1999
    Thema V1.0: KFFM, KFF, KJC, KFC
    Publisher
    Pearson Education Limited
    Imprint name
    FINANCIAL TIMES PRENTICE HALL
    Publication date
    01 March 1999
    Publication City/Country
    Harlow
    Back cover copy
    "This book provides a solid foundation for an understanding of Value at Risk from both an internal and a regulatory perspective, which should be invaluable as both an initial read and also as a continuing source of reference. Keep this by your side as a roadmap through the jungle of competing models, mathematical formulae and erudite statistics."- Dr Richard Flavell, Director, Lombard Risk Systems "Cormac Butler has the distinct advantage of being a trainer in the subject, which is definitely the best assurance that he is fully up-to-speed in this complex and constantly changing field."- Dr D C Gardner, Chairman, Birchin International plc The estimation of potential losses that could arise from adverse changes in market conditions is a key element of risk management. For financial institutions and corporate treasuries across the world, 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. However, the communication and application of VaR is a field in which the signal to noise ratio is not high. There is neither a widespread intuitive understanding of VaR in the market, nor an appreciation of the practicalities of its implementation and limitations. "Mastering Value at Risk" will close that knowledge gap, introducing this potentially powerful methodology to those most in need of its benefits, and helping all those who encounter VaR to use it wisely. Key topics examined include: A practical introduction to Value at RiskValue at Risk as a Tool in Supervisory RegulationA profile of VaR methods, how matrices are used to calculate VaR and a comparison of the variance covariance approach with other methodsVaR on forward rate agreementsThe risk sensitivities of optionsApplying VaR principles to Credit Control