Penza, Pietro Primary Author Bansal, Vipul K. Additional Author mixed material bibliography New York John Wiley & Sons 2001 en English

Printed Material

xiii, 302 p. : tabs., figs., index ; 24 cm. Managers require a much more effective risk management system for financial institutions than ever before. This need has led to the development of the concept of Value-at-Risk (VaR), a method that hands managers a comprehensive measure for defining, in monetary terms, the risk incurred by the portfolio he or she is managing. This thorough guide to VaR combines a broad overview of the concepts with very practical instruction in implementation and modeling, analyzes the statistical background needed for implementation of VaR models, and shows procedures for calculating VaR for the most important basic financial instruments. It analyzes the most important limitations of VaR and the models used for calculating it—which is essential to understanding the risk management framework. (text from the publisher) Banking Risk Management Valuation Investments Assets and liabilities Financial risk Risk analysis ELAV/EEQ 0471393134 Perpustakaan - Sekolah Tinggi Manajemen PPM Pusat Informasi Manajemen ELAV/EEQ Pen 30712 General (General) ELAV/EEQ Pen 15572 2001-07-04 00:00:00 2021-08-13 14:52:26 machine generated