Implementing value at risk
by
Best, Philip.
Title
:
Implementing value at risk
Author
:
Best, Philip.
ISBN
:
9780471972051
Personal Author
:
Best, Philip.
Publication Information
:
Chichester, West Sussex, England ; New York, NY, USA : J. Wiley & Sons, ©1998.
Physical Description
:
xiii, 208 pages : illustrations ; 24 cm + 1 computer optical disc (4 3/4 in.).
Series
:
[Financial engineering]
Wiley series in financial engineering.
General Note
:
Series statement on jacket.
Contents
:
Defining risk and VAR -- Covariance -- Calculating VAR using simulation -- Measurement of volatility and correlation -- Implementing value at risk -- Stress testing -- Managing risk with VAR -- Risk adjusted performance measurement -- Regulators and risk management -- Introduction to the spreadsheets.
Subject Term
:
Asset-liability management.
Bank investments.
Gestion des actifs et des passifs.
Banques -- Investissements.
Asset-liability management. (OCoLC)fst00819062
Bank investments. (OCoLC)fst00826688
Risk management.
Investeringen.
Gestion du risque.
Gestion des actifs et passifs bancaires.
Electronic Access
:
| Library | Material Type | Item Barcode | Shelf Number | Copy | Status |
|---|
| VEGA Bordeaux | General Books | 000007320 | 332.175 BES | 1 | On-Shelf Student |