The market risk amendment : understanding the marking-to-model and value-at-risk / Dimitris N. Chorafas
Imprint
New York : McGraw-Hill, c1998
Descript
xiv, 332 p. : ill. ; 24 cm
CONTENT
Impact of the 1996 market risk amendment: Market risk amendment and beyond ; Management's responsibility with market risk and credit risk ; Days after the implementation of the market risk amendment ; American and British regulators look at market risk ; Restructuring the financial accounting system of the French Republic -- Understanding marking-to-model: Calculation of value-at-risk through simulation ; Black-scholes model, sharpe index, and Olsen formula ; Development and use of proprietary models for pricing the trading book