Beyond value at risk : the new science of risk management / Kevin Dowd
Imprint
Chichester : Wiley, c1998
Descript
xi, 274 p
CONTENT
Part 1: Introduction to VaR -- The risk management revolution -- VaR basics -- Part 2: Different approaches to measuring VaR -- The variance-covariance approach -- The historical simulation approach -- Monte carlo simulation and related approaches -- Stress testing -- Part 3: Risk management -- Risk-adjusting returns and ev aluating performance -- Decision making -- Credit risk -- Liquidity, operational and legal risks -- Allocating capital -- Firm-wide risk management