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

Allen, Linda; Boudoukh, Jacob; Saunders, Anthony

 
9780631227090: Understanding Market, Credit, and Operational Risk: The Value at Risk Approach
Couverture rigide
ISBN 10 : 0631227091 ISBN 13 : 9780631227090
Editeur : Wiley-Blackwell, 2003

Synopsis

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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

À propos de l?auteur

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 to Value at Risk and Other Paradigms, (2nd edition). She is an associate editor of the Journal of Banking and Finance, Journal of Economics and Business, and Multinational Finance Journal, and has published extensively in top academic journals in finance and economics.

Jacob Boudoukh is Professor of Finance and the founding director of theCaesarea Edmond Benjamin de Rothschild Center for Capital Markets and Risk Management at the Arison School of Business, IDC; as well as holding positions at the Stern School of Business, New York University. ormerly formerly with and currently visiting Stern-NYU; and a member of the NBER. His work has been published in academic journals such as The American Economic Review, and The Journal of Financial Economics, as well as practitioner journals such as Risk.Anthony Saunders is John M. Schiff Professor of Finance and Chair of the Department of Finance at the Stern School of Business, and Economics and Finance Department Chair at New York University. He is also editor of the Journal of Banking and Finance and the Journal of Financial Markets, Institutions and Instruments, and has published Financial Institutions and Management (2nd4th edition). Professor Saunders has published widely in top journals such as Journal of Finance.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
Wiley-Blackwell
Date d'édition
2003
Langue
anglais
ISBN 10 
0631227091
ISBN 13 
9780631227090
Reliure
Relié
Nombre de pages
312
Coordonnées du fabricant
non disponible
Personne responsable
non disponible