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Understanding market, credit, and operational risk - Linda Allen
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Title
Understanding market, credit, and operational risk - the value at risk approach
Understanding market, credit, and operational risk - the value at risk approach
Author
Linda Allen
Linda Allen
format
Hardback
Hardback
Publisher
Wiley Blackwell
Wiley Blackwell
Language
English
English
UK Publication Date
20031027
20031027
Description
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 ofmarket risk, credit risk and operational risk. The book describesand critiques proprietary models, illustrating them with practicalexamples drawn from actual case studies. Explaining the logicbehind the economics and statistics, this technically sophisticatedyet intuitive text should be an essential resource for all readersoperating in a world of risk.
- Applies the Value at Risk approach to market, credit, andoperational risk measurement.
- Illustrates models with real-world case studies.
- Features coverage of BIS bank capital requirements.
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