Implementing Value at Risk

Published Online: 27 Dec 2004

Author(s): Philip Best

Print ISBN: 0471972053 Online ISBN: 0470013303

DOI: 10.1002/0470013303

Copyright © 1998 John Wiley & Sons, Ltd

TOC:

Front Matter (p i-xiv)

Chapter 1:
Defining Risk and VAR (p 1-13)
Chapter 2:
Covariance (p 14-31)
Chapter 3:
Calculating VAR Using Simulation (p 32-56)
Chapter 4:
Measurement of Volatility and Correlation (p 57-102)
Chapter 5:
Implementing Value at Risk (p 103-127)
Chapter 6:
Stress Testing (p 128-140)
Chapter 7:
Managing Risk with VAR (p 141-148)
Chapter 8:
Risk Adjusted Performance Measurement (p 149-173)
Chapter 9:
Regulators and Risk Management (p 174-196)
Chapter 10:
Introduction to the Spreadsheets (p 197-198)
References and Further Reading (p 199-200)
Index (p 201-208)

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