Implementing value at risk
Title:
Implementing value at risk
Author:
Best, Philip.
ISBN:
9780471972051
Personal Author:
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.
Electronic Access:
Table of contents http://catdir.loc.gov/catdir/toc/onix01/98004098.htmlPublisher description http://catdir.loc.gov/catdir/description/wiley031/98004098.html