Summary |
The purpose of this book is to provide a comprehensive and practical presentation of the measurement and applications of value at risk. It is targeted to practitioners, students, and academics interested in understanding the recent revolution in financial risk management. This book also can serve as a text for advanced graduate seminars on risk management. The first two editions have been used in business schools all over the world. This third edition now contains a list of end-of-chapter questions that can be used as assignments to students.
In particular, readers should have some familiarity with concepts of probability distribution, statistical analysis, and portfolio risk. Prior exposure to derivatives and the fixed-income market is also a plus. This book provides a brief review of these concepts and then extends the analysis in the direction of measuring aggregate financial risks.
|
