Allen, Linda, –. Understanding market, credit, and operational risk: the value at risk approach / Linda Allen, Jacob Boudoukh, and Anthony Saunders.
Table of contents
- Understanding market, credit, and operational risk : the value at risk approach
- Understanding Market, Credit, and Operational Risk : Anthony Saunders :
- Bestselling Series
- Understanding Market, Credit, and Operational Risk: The Value at Risk Approach
Understanding market, credit, and operational risk : the value at risk approach
Money, Payments, and Liquidity Ed Nosal. Pawnshop in China T. Economics After the Crisis Adair Turner. Money from Nothing Deborah James. Exploring General Equilibrium Fischer Black. Paying with Plastic David S.
Understanding Market, Credit, and Operational Risk : Anthony Saunders :
Credit Crises Philip Gisdakis. American Plastic Laurie Essig. Corporate Bankruptcy Richard A. Back cover copy 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 ofmarket risk, credit risk, and operational risk. The book describesand critiques proprietary models, illustrating them with practicalexamples drawn from actual case studies.
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Explaining the logicbehind the economics and statistics, this technically sophisticatedyet intuitive text should be an essential resource for all readersoperating 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 capitalrequirements, and including the latest proposals for the NewCapital Accord, the book also describes the newest application ofVaR techniques to operational risk measurement. The text examinesthe promise and the pitfalls of these risk measurement models, andmakes recommendations for future research into this importantarea. Outstanding Research Notes References Index show more.
Review quote "This book is a clear explanation of the science and art of the Value at Risk approach to risk measurement. There is no better explication of both the theory underlying the approach and its practical implementation. Wiley-Blackwell; 1 edition June 9, Publication Date: June 9, Sold by: Related Video Shorts 0 Upload your video.
Share your thoughts with other customers. Write a customer review. There was a problem filtering reviews right now. Please try again later. Second half is too superficial. Prior to , the first three chapters were assigned by the global association of risk professionals GARP to Financial Risk Manager FRM candidates as part of an introduction to quantitative finance. More recently, Chapter Two Quantifying Volatility in value at risk models and chapter five extending value at risk to operational risks have been assigned to FRM candidates.
Bestselling Series
The weakness of the book is that it tries to cover all three risk major buckets. For each of market, credit and operational risk, there are better texts with better, and more current, treatments. It is an adequate introduction on each. The credit section is the weakest. Also, the assigned Chapter 5 on operational risk is a brisk conceptual catalog; my students risk learners have typically found the catalog of opRisks to be a bit too superficial and generally begs further exploration e.
Understanding Market, Credit, and Operational Risk: The Value at Risk Approach
In short, the book is not recommended for the ideas conveyed by the title. However, the book's strength is the beginning, the first three chapters. That is, mostly, the quantitative setup for the rest. So, students of risk can learn valuable, lasting lessons; e. So, these first three chapters are recommended. Amazon Giveaway allows you to run promotional giveaways in order to create buzz, reward your audience, and attract new followers and customers.
Learn more about Amazon Giveaway. Understanding Market, Credit, and Operational Risk: The Value at Risk Approach. Set up a giveaway. Feedback If you need help or have a question for Customer Service, contact us. Would you like to report poor quality or formatting in this book? Click here Would you like to report this content as inappropriate? Click here Do you believe that this item violates a copyright? Anthony Saunders is John M. Professor Saunders has published widely in top journals such as Journal of Finance. Understanding Market, Credit, and Operational Risk: The Value at Risk Approach.
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