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Understanding Market, Credit, and Operational Risk: The Value at Risk Approach |  | Authors: Linda Allen, Jacob Boudoukh, Anthony Saunders
Publisher: Wiley-Blackwell
Category: Book
List Price: $72.00
Buy New: $43.99
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Seller: gbsbooks
Rating:  1 reviews
Sales Rank: 1005705
Media: Hardcover
Pages: 312
Number Of Items: 1
Shipping Weight (lbs): 1.2
Dimensions (in): 9.1 x 6.1 x 0.9
ISBN: 0631227091
Dewey Decimal Number: 332.10681
EAN: 9780631227090
ASIN: 0631227091
Publication Date: January 7, 2004
Availability: Usually ships in 1-2 business days
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Product Description
A step-by-step, real world guide to the use of Value at Risk (VaR) models, this text applies the VaR approach to the measurement of market risk, credit risk and operational risk. The book describes and critiques proprietary models, illustrating them with practical examples drawn from actual case studies. Explaining the logic behind the economics and statistics, this technically sophisticated yet intuitive text should be an essential resource for all readers operating in a world of risk.
- Applies the Value at Risk approach to market, credit, and operational risk measurement.
- Illustrates models with real-world case studies.
- Features coverage of BIS bank capital requirements.
Book Description
A step-by-step, real-world guide to the use of Value at Risk (VaR) models, this text applies the VaR approach to the measurement of market risk, credit risk, and operational risk. The book describes and critiques proprietary models, illustrating them with practical examples drawn from actual case studies. Explaining the logic behind the economics and statistics, this technically sophisticated yet intuitive text should be an essential resource for all readers operating in a world of risk. The text uses VaR techniques to analyze loans, derivatives, equity prices, foreign currencies and other financial instruments. Featuring comprehensive coverage of the BIS bank capital requirements, and including the latest proposals for the New Capital Accord, the book also describes the newest application of VaR techniques to operational risk measurement. The text examines the promise and the pitfalls of these risk measurement models, and makes recommendations for future research into this important area.
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| Customer Reviews:
First few chapters are strong introduction. Second half is too superficial. October 31, 2008
David R. Harper (Los Angeles, CA USA)
5 out of 5 found this review helpful
Prior to 2008, the first three chapters were assigned by the global association of risk professionals (GARP) to Financial Risk Manager (FRM) candidates as part of an introduction to quantitative finance. More recently, Chapter Two (Quantifying Volatility in value at risk models) and chapter five (extending value at risk to operational risks) have been assigned to FRM candidates.
The weakness of the book is that it tries to cover all three risk major buckets. For each of market, credit and operational risk, there are better texts with better, and more current, treatments. It is an adequate introduction on each. The credit section is the weakest. Also, the assigned Chapter 5 on operational risk is a brisk conceptual catalog; my students (risk learners) have typically found the catalog of opRisks to be a bit too superficial and generally begs further exploration (e.g., there are no case study examples, and some of the operational risk approaches really need to be illustrated to be understood). In short, the book is not recommended for the ideas conveyed by the title.
However, the book's strength is the beginning, the first three chapters. That is, mostly, the quantitative setup for the rest. These introductory chapters are robust discussions of traditional volatility/VaR and especially their limitations. So, students of risk can learn valuable, lasting lessons; e.g., normality cannot be salvaged, scaling parametric volatility/VaR is a bit doomed, practical volatility calculation issues. So, these first three chapters are recommended.
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