An introduction to value-at-risk - Moorad Choudhry

The value-at-risk measurement methodology is a widely-used toolin financial market risk management. The fifth edition of ProfessorMoorad Choudhry's benchmark reference text An Introductionto Value-at-Risk offers an accessible and reader-friendly lookat the concept of VaR and its different estimation methods, and isaimed specifically at newcomers to the market or those unfamiliarwith modern risk management practices. The author capitalises onhis experience in the financial markets to present this concise yetin-depth coverage of VaR, set in the context of risk management asa whole.

Topics covered include:

• Defining value-at-risk
• Variance-covariance methodology
• Portfolio VaR
• Credit risk and credit VaR
• Stressed VaR
• Critique and VaR during crisis

Topics are illustrated with Bloomberg screens, worked examplesand exercises. Related issues such as statistics, volatility andcorrelation are also introduced as necessary background forstudents and practitioners. This is essential reading for all thosewho require an introduction to financial market risk management andrisk measurement techniques.

Foreword by Carol Alexander, Professor of Finance, University ofSussex.