An introduction to value-at-risk /
Choudhry, Moorad,author.
Wong, Max C. Y.(Max Chan Yue),author.
"Foreword by Professor Carol Alexander"--Cover.
Includes bibliographical references and index.
Introduction to risk -- Volatility and correlation -- Value-at-risk -- Value-at-risk for fixed interest instruments -- Options: risk and value-at-risk -- Monte Carlo simulation and value-at-risk -- Regulatory issues and stress-testing -- Credit risk and credit value-at-risk -- A review of value-at-risk.
Risk management.
Also issued online.