The value-at-risk measurement methodology is a widely-used tool infinancial market risk management. The fourth edition of ProfessorMoorad Choudhry's benchmark reference text An Introduction toValue-at-Risk offers an accessible and reader-friendly look at theconcept of VaR and its different estimation methods, and is aimedspecifically at newcomers to the market or those unfamiliar withmodern risk management practices. The author capitalises on hisexperience in the financial markets to present this concise yetin-depth coverage of VaR, set in the context of risk management asa whole. Topics covered include: * Defining value-at-risk * Variance-covariance methodology * Monte Carlo simulation * Portfolio VaR * Credit risk and credit VaR Topics are illustrated with Bloomberg screens, worked examples,exercises and case studies. Related issues such as statistics,volatility and correlation are also introduced as necessarybackground for students and practitioners. This is essentialreading for all those who require an introduction to financialmarket risk management and value-at-risk.weiterlesen