An introduction to value at risk:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Chichester
Wiley
2006
|
| Ausgabe: | 4. ed. |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Includes index |
| Beschreibung: | XVIII, 171 S. graph. Darst. |
| ISBN: | 0470017570 9780470017579 |
Internformat
MARC
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| 245 | 1 | 0 | |a An introduction to value at risk |c Moorad Choudhry |
| 246 | 1 | |a An introduction to value-at-risk | |
| 250 | |a 4. ed. | ||
| 264 | 1 | |a Chichester |b Wiley |c 2006 | |
| 300 | |a XVIII, 171 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 500 | |a Includes index | ||
| 650 | 4 | |a Risikomanagement - Value at Risk | |
| 650 | 4 | |a Risk management | |
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Datensatz im Suchindex
| _version_ | 1804135511293427712 |
|---|---|
| adam_text | CONTENTS
Foreword xiii
Preface xv
Preface to the first edition xvii
About the author xix
1 INTRODUCTION TO RISK 1
Defining risk 2
The elements of risk: characterising risk 3
Forms of market risk 3
Other risks 5
Risk estimation 6
Risk management 7
The risk management function 7
Managing risk 9
Quantitative measurement of risk 9
Standard deviation
Sharpe Ratio ^
Van Ratio 10
2 VOLATILITY AND CORRELATION 13
Statistical concepts 14
Arithmetic mean 14
Probability distributions 16
Confidence intervals 18
Volatility 19
The normal distribution and VaR 24
Correlation 26
3 VALUE AT RISK 29
What is VaR? 30
Definition 30
Methodology 32
Centralised database 32
Correlation assumptions 33
Correlation method 33
Historical simulation method 34
Monte Carlo simulation method 35
Validity of the volatility correlation VaR estimate 35
How to calculate value at risk 35
Historical method 36
Simulation method 37
Variflnce covariance, analytic or parametric method 37
Mapping 44
Confidence intervals 46
Comparison between methods 47
Choosing between methods 48
Comparison with the historical approach 52
Other market methodologies 53
Use of VaR models 54
Hypothetical portfolio VaR testing 55
Bank of England comparison of VaR models 55
Summary 57
4 VALUE AT RISK FOR FIXED INTEREST
INSTRUMENTS 61
Fixed income products 62
Bond valuation 62
Duration 64
Modified duration 66
Convexity 66
Interest rate products 67
Forward rate agreements 67
Fixed income portfolio 70
Applying VaR for a FRA 72
VaR for an interest rate swap 74
Applying VaR for a bond futures contract 78
Calculation illustration 78
The historical method 81
Simulation methodology 82
Volatility over time 83
Application 83
Bloomberg screens 84
5 OPTIONS: RISK AND VALUE AT RISK 87
Option valuation using the Black Scholes
model 88
Option pricing 88
Volatility 90
The Greeks 91
Delta 92
Gamma 92
Vega 93
Other Greeks 94
Risk measurement 94
Spot ladder 94
Maturity ladder 95
Across time ladder 95
Jump risk 95
Applying VaR for Options 95
S MONTE CARLO SIMULATION AND
VALUE AT RISK 101
Introduction: Monte Carlo simulation 102
Option value under Monte Carlo 102
Monte Carlo distribution 104
Monte Carlo simulation and VaR 105
7 REGULATORY ISSUES AND
STRESS TESTING 109
Capital adequacy 110
Model compliance 110
CAD II 111
Specific risk 113
Back testing 114
Stress testing 114
Sim ula ting s tress 115
Stress testing in practice 116
Issues in stress testing 117
8 CREDIT RISK AND CREDIT
VALUE AT RISK 119
Types of credit risk 120
Credit spread risk 120
Credit default risk 120
Credit ratings 121
Credit ra tings 121
Ratings changes over time 123
Corporate recovery rates 125
Credit derivatives 126
Measuring risk for a CDS contract 128
Modelling credit risk 129
Time horizon 131
Data inputs 131
CreditMetrics 131
Methodology 132
Time horizon 133
Calculating the credit VaR 134
CieditRisk+ 137
Applications of credit VaR 142
Prioritising risk reducing actions 142
Standard credit limit setting 144
Concentration limits 144
Integrating the credit risk and market risk
functions 144
Case Study and Exercises 147
Appendix: Taylor s Expansion 155
Abbreviations 159
Selected bibliography 161
Index 163
|
| adam_txt |
CONTENTS
Foreword xiii
Preface xv
Preface to the first edition xvii
About the author xix
1 INTRODUCTION TO RISK 1
Defining risk 2
The elements of risk: characterising risk 3
Forms of market risk 3
Other risks 5
Risk estimation 6
Risk management 7
The risk management function 7
Managing risk 9
Quantitative measurement of risk 9
Standard deviation "
Sharpe Ratio ^
Van Ratio 10
2 VOLATILITY AND CORRELATION 13
Statistical concepts 14
Arithmetic mean 14
Probability distributions 16
Confidence intervals 18
Volatility 19
The normal distribution and VaR 24
Correlation 26
3 VALUE AT RISK 29
What is VaR? 30
Definition 30
Methodology 32
Centralised database 32
Correlation assumptions 33
Correlation method 33
Historical simulation method 34
Monte Carlo simulation method 35
Validity of the volatility correlation VaR estimate 35
How to calculate value at risk 35
Historical method 36
Simulation method 37
Variflnce covariance, analytic or parametric method 37
Mapping 44
Confidence intervals 46
Comparison between methods 47
Choosing between methods 48
Comparison with the historical approach 52
Other market methodologies 53
Use of VaR models 54
Hypothetical portfolio VaR testing 55
Bank of England comparison of VaR models 55
Summary 57
4 VALUE AT RISK FOR FIXED INTEREST
INSTRUMENTS 61
Fixed income products 62
Bond valuation 62
Duration 64
Modified duration 66
Convexity 66
Interest rate products 67
Forward rate agreements 67
Fixed income portfolio 70
Applying VaR for a FRA 72
VaR for an interest rate swap 74
Applying VaR for a bond futures contract 78
Calculation illustration 78
The historical method 81
Simulation methodology 82
Volatility over time 83
Application 83
Bloomberg screens 84
5 OPTIONS: RISK AND VALUE AT RISK 87
Option valuation using the Black Scholes
model 88
Option pricing 88
Volatility 90
The Greeks 91
Delta 92
Gamma 92
Vega 93
Other Greeks 94
Risk measurement 94
Spot ladder 94
Maturity ladder 95
Across time ladder 95
Jump risk 95
Applying VaR for Options 95
S MONTE CARLO SIMULATION AND
VALUE AT RISK 101
Introduction: Monte Carlo simulation 102
Option value under Monte Carlo 102
Monte Carlo distribution 104
Monte Carlo simulation and VaR 105
7 REGULATORY ISSUES AND
STRESS TESTING 109
Capital adequacy 110
Model compliance 110
CAD II 111
Specific risk 113
Back testing 114
Stress testing 114
Sim ula ting s tress 115
Stress testing in practice 116
Issues in stress testing 117
8 CREDIT RISK AND CREDIT
VALUE AT RISK 119
Types of credit risk 120
Credit spread risk 120
Credit default risk 120
Credit ratings 121
Credit ra tings 121
Ratings changes over time 123
Corporate recovery rates 125
Credit derivatives 126
Measuring risk for a CDS contract 128
Modelling credit risk 129
Time horizon 131
Data inputs 131
CreditMetrics 131
Methodology 132
Time horizon 133
Calculating the credit VaR 134
CieditRisk+ 137
Applications of credit VaR 142
Prioritising risk reducing actions 142
Standard credit limit setting 144
Concentration limits 144
Integrating the credit risk and market risk
functions 144
Case Study and Exercises 147
Appendix: Taylor's Expansion 155
Abbreviations 159
Selected bibliography 161
Index 163 |
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| language | English |
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| spelling | Choudhry, Moorad Verfasser aut An introduction to value at risk Moorad Choudhry An introduction to value-at-risk 4. ed. Chichester Wiley 2006 XVIII, 171 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Includes index Risikomanagement - Value at Risk Risk management Value at Risk (DE-588)4519495-6 gnd rswk-swf Value at Risk (DE-588)4519495-6 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014901243&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
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| title | An introduction to value at risk |
| title_alt | An introduction to value-at-risk |
| title_auth | An introduction to value at risk |
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| title_full | An introduction to value at risk Moorad Choudhry |
| title_fullStr | An introduction to value at risk Moorad Choudhry |
| title_full_unstemmed | An introduction to value at risk Moorad Choudhry |
| title_short | An introduction to value at risk |
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| topic | Risikomanagement - Value at Risk Risk management Value at Risk (DE-588)4519495-6 gnd |
| topic_facet | Risikomanagement - Value at Risk Risk management Value at Risk |
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