The value-at-risk measurement methodology is a widely-used tool in financial market risk management. The fourth edition of Professor Moorad Choudhry's benchmark reference text An Introduction to Value-at-Risk offers an accessible and reader-friendly look at the concept of VaR and its different estimation methods, and is aimed specifically at newcomers to the market or those unfamiliar with modern risk management practices. The author capitalises on his experience in the financial markets to present this concise yet in-depth coverage of VaR, set in the context of risk management as a whole.

**Topics covered include:**

Defining value-at-risk

Variance-covariance methodology

Monte Carlo simulation

Portfolio VaR

Credit risk and credit VaR

Topics are illustrated with Bloomberg screens, worked examples, exercises and case studies. Related issues such as statistics, volatility and correlation are also introduced as necessary background for students and practitioners. This is essential reading for all those who require an introduction to financial market risk management and value-at-risk.

- Cover Page
- Title Page
- Copyright
- Dedication
- Contents
- Foreword
- PREFACE
- PREFACE TO THE FIRST EDITION
- About the Author
- Chapter 1: INTRODUCTION TO RISK
- Chapter 2: VOLATILITY AND CORRELATION
- Chapter 3: VALUE-AT-RISK
- Chapter 4: VALUE-AT-RISK FOR FIXED INTEREST INSTRUMENTS
- Chapter 5: OPTIONS: RISK AND VALUE-AT-RISK
- Chapter 6: MONTE CARLO SIMULATION AND VALUE-AT-RISK
- Chapter 7: REGULATORY ISSUES AND STRESS-TESTING
- Chapter 8: CREDIT RISK AND CREDIT VALUE-AT-RISK
- CASE STUDY AND EXERCISES
- APPENDIX: TAYLOR'S EXPANSION
- ABBREVIATIONS
- SELECTED BIBLIOGRAPHY
- INDEX
- Other titles by the author