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Value-at-Risk and Credit VaR
Company: Fixed Income Markets
Company Url: Click here to open
Year Of Publication: 2014
Month Of Publication: September
Resource Link: Click here to open
Download Count: 0
View Count: 962
Comment Num: 0
Language: English
Source: book chapter
Who Can Read: Free
Date: 7-6-2014
Publisher: Administrator
Summary
In Chapter 18 we provide a detailed review of the value-at-risk (VaR) market risk measurement tool, and how it is used. The different methodologies by which one may calculate VaR are described, and worked examples are used to illustrate the calculation. There is a critique of the VaR concept in light of the crash of 2008, together with an introduction to the new concept of bubble VaR, which is designed to be a more accurate and realistic measure of market risk exposure. There is also a section on use of VaR for credit risk exposure measurement.
Author(s)
Choudhry, Moorad Sign in to follow this author
Wong, Max C. Y. Sign in to follow this author
Liu, Zhuoshi Sign in to follow this author
Moskovic, David Sign in to follow this author
Baig, Suleman Sign in to follow this author
Lizzio, Michele Sign in to follow this author
Voicu, Alexandru Sign in to follow this author
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