Understanding Market, Credit, and Operational Risk: The Value at Risk Approach by Linda AllenUnderstanding Market, Credit, and Operational Risk: The Value at Risk Approach by Linda Allen

Understanding Market, Credit, and Operational Risk: The Value at Risk Approach

byLinda Allen, Jacob Boudoukh, Anthony Saunders

Hardcover | December 30, 2003

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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.

  • Applies the Value at Risk approach to market, credit, and operational risk measurement.
  • Illustrates models with real-world case studies.
  • Features coverage of BIS bank capital requirements.
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. She is also the author of Capital Markets and Institutions: A Global View and co-author of Credit Risk Measurement: New Approaches t...
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Title:Understanding Market, Credit, and Operational Risk: The Value at Risk ApproachFormat:HardcoverDimensions:312 pages, 9.3 × 6.3 × 1.1 inPublished:December 30, 2003Publisher:WileyLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0631227091

ISBN - 13:9780631227090

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Table of Contents

List of Figures xiv

List of Tables xvi

Preface xviii

List of Abbreviations xx

1 Introduction to Value at Risk (VaR) 1

2 Quantifying Volatility in VaR Models 21

3 Putting VaR to Work 82

4 Extending the VaR Approach to Non-tradable Loans 119

5 Extending the VaR Approach to Operational Risks 158

6 Applying VaR to Regulatory Models 200

7 VaR: Outstanding Research 233

Notes 236

References 257

Index 270

Editorial Reviews

"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. It is an invaluable tool to anyone involved in any type of risk management." Mark Zandi, Economy.com