Implementing value at risk

Implementing value at risk /

Implementing Value at Risk Philip Best Value at Risk (VAR) is an estimate of the potential loss on a trading or investment portfolio. Its use has swept the banking world and is now accepted as an essential tool in any risk manager's briefcase. Perhaps the greatest strength of VAR is that it can...

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Bibliographic Details
Main Author: Best, Philip
Format: Electronic eBook
Language:English
Published: Chichester, England ; New York : Wiley, ?1998.
Series:Wiley series in financial engineering.
Subjects:
Asset-liability management.
Bank investments.
Risk assessment.
Risk Assessment
Electronic books.
Online Access:Full text (Wentworth users only)

MARC

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245 1 0 |a Implementing value at risk /  |c Philip Best. 
260 |a Chichester, England ;  |a New York :  |b Wiley,  |c ?1998. 
300 |a 1 online resource (xiii, 208 pages) :  |b illustrations. 
336 |a text  |b txt  |2 rdacontent 
337 |a computer  |b c  |2 rdamedia 
338 |a online resource  |b cr  |2 rdacarrier 
347 |a text file  |b PDF  |2 rda 
490 1 |a [Financial engineering] 
504 |a Includes bibliographical references (pages 199-200) and index. 
505 0 |a Evolution of Value at Risk -- Regulators and VAR -- Review of VAR as a Risk Measurement Techniques -- Covariance -- Historical Simulation -- Monte Carlo Simulation -- Using VAR to Control Risk -- VAR as a Business Management Tool -- Implementing VAR -- Conclusion. 
505 0 |a 1, Defining risk and VAR - 2, Covariance - 3, Calculating VAR using simulation - 4, Measurement of volatility and correlation - 5, Implementing value at risk - 6, Stress testing - 7, Managing risk with VAR - 8, Risk adjusted performance measurement - 9, Regulators and risk management - 10, Introduction to the spreadsheets. 
520 |a Implementing Value at Risk Philip Best Value at Risk (VAR) is an estimate of the potential loss on a trading or investment portfolio. Its use has swept the banking world and is now accepted as an essential tool in any risk manager's briefcase. Perhaps the greatest strength of VAR is that it can cope with virtually all financial products, from simple securities through to complex exotic derivatives. This allows the risk taken, across diverse trading activities, to be compared. This said, VAR is no panacea. It is as critical to understand when the use of VAR is inappropriate as it is to understa. 
546 |a English. 
588 0 |a Print version record. 
650 0 |a Asset-liability management. 
650 0 |a Bank investments. 
650 0 |a Risk assessment. 
650 2 |a Risk Assessment 
655 0 |a Electronic books. 
776 0 8 |i Print version:  |a Best, Philip.  |t Implementing value at risk.  |d Chichester, England ; New York : Wiley, ?1998  |z 0471972053 
830 0 |a Wiley series in financial engineering. 
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