Understanding market, credit, and operational risk:the value at risk approach
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Main Authors: | |
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Group Author: | ; |
Published: |
Blackwell,
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Publisher Address: | Malden, MA. |
Publication Dates: | 2004. |
Literature type: | Book |
Language: | English |
Subjects: | |
Carrier Form: | xxii, 284 p.: ill. ; 24 cm. |
ISBN: | 0631227091 |
Index Number: | F830 |
CLC: | F830.9 |
Call Number: | F830.9/A427 |
Contents: |
Includes bibliographical references (p. [257]-269) and index. Introduction to value at risk (VaR) -- Quantifying volatility in VaR models -- Putting VaR to work -- Extending the VaR approach to non-tradable loans -- Extending the VaR approach to operational risks -- Applying VaR to regulatory models -- VaR : outstanding research. |