Measuring Market Risk with Value at Risk
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More About This Title Measuring Market Risk with Value at Risk
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PIETRO PENZA is Manager of the Financial Risk Management practice of PricewaterhouseCoopers' Rome office. He specializes in risk measurement and management, and value-based management. Previously, he worked with Banca Agrileasing as an in-house consultant and business analyst.
VIPUL K. BANSAL, PhD, CFA, CFP, is Associate Professor of Finance at the Peter J. Tobin College of Business at St. John's University. He was cofounder and associate director/treasurer of the International Association of Financial Engineers from 1991-1998. He conducts seminars on wide-ranging topics throughout the world. He has had assignments with numerous leading organizations, including Goldman Sachs, Citicorp, Salomon Smith Barney, Bloomberg, and The World Bank. Bansal is also coauthor of Financial Engineering: The Complete Guide to Financial Innovation.
VIPUL K. BANSAL, PhD, CFA, CFP, is Associate Professor of Finance at the Peter J. Tobin College of Business at St. John's University. He was cofounder and associate director/treasurer of the International Association of Financial Engineers from 1991-1998. He conducts seminars on wide-ranging topics throughout the world. He has had assignments with numerous leading organizations, including Goldman Sachs, Citicorp, Salomon Smith Barney, Bloomberg, and The World Bank. Bansal is also coauthor of Financial Engineering: The Complete Guide to Financial Innovation.
English
Global Banking Industry.
Risk Management Approaches in BankingActivity.
Financial Risk Management and Regulations.
A Simple Introduction to Value at Risk.
Measuring Prices and Returns.
Statistics for Prices and Returns.
Estimating and Forecasting Volatility.
The Distribution of Returns.
Fractal Distributions and Applications to VaR.
Fixed-Income Mapping.
Equity Pricing.
Derivative Pricing.
Calculating VaR: An Overview.
Parametric Normal Models.
Historical Simulation Models.
Monte Carlo Simulation Methods.
Final Remarks: Limits of VaR.
Index.
Risk Management Approaches in BankingActivity.
Financial Risk Management and Regulations.
A Simple Introduction to Value at Risk.
Measuring Prices and Returns.
Statistics for Prices and Returns.
Estimating and Forecasting Volatility.
The Distribution of Returns.
Fractal Distributions and Applications to VaR.
Fixed-Income Mapping.
Equity Pricing.
Derivative Pricing.
Calculating VaR: An Overview.
Parametric Normal Models.
Historical Simulation Models.
Monte Carlo Simulation Methods.
Final Remarks: Limits of VaR.
Index.
