Title Implementing value at risk / Philip Best

Published Chichester, West Sussex, England ; New York, NY, USA : J. Wiley & Sons, [1998] ©1998

Copies

Location	Call no.	Vol.	Availability
MELB	332.17540681 Bes/Iva		AVAILABLE

Description xiii, 208 pages : illustrations ; 24 cm + 1 computer laser optical disc (4 3/4 in.) Series [Financial engineering] Wiley series in financial engineering. Contents 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 Analysis Value at risk Notes Series statement on jacket Bibliography Includes bibliographical references (pages [199]-200) and index Notes System requirements for accompanying computer disc: Microsoft Excel 5.0 Subject Asset-liability management. Bank investments. LC no. 98004098 ISBN 0471972053 (alk. paper)

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