TABLE OF CONTENTS
Preface
Acknowledgements
1 Defining risk and VAR
2 Covariance
3 Calculating VAR using simulation
4 Measurement of volatility and correlation
5 Implementing value at risk
6 Stress testing
7 Managing risk with VAR
8 Risk adjusted performance measurement
9 Regulators and risk management
10 Introduction to the spreadsheets
References and further reading
Index