Measuring Market Risk with Value at Risk

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The growing importance of proprietary trading, the blurring boundaries among financial sub-industries (banking, insurance, leasing, asset management), the increased volatility of financial markets and regulatory statements requiring a more and more effective risk management system for financial institutions have led to the development of the concept of Value-at-Risk (VaR) - a method for managers to have a comprehensive measure which is able to define, in monetary terms, the risk incurred by the portfolio being managed.

Measuring Market Risk with Value at Risk 2000, Wiley, New York, NY

ISBN-13: 9780471393139