by Carol Alexander · Wiley · tapa dura · ISBN 9780470997888
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«Market Risk Analysis, Value at Risk Models» is volume IV of the Market Risk Analysis series by Carol Alexander, published by Wiley in hardback (English).
Volume IV of the Market Risk Analysis series, focused on market value-at-risk (VaR) models. It describes linear parametric, historical simulation and Monte Carlo approaches, including copula methods, and applies them to fixed income, equity and commodity portfolios, with backtesting and stress testing.
Market Risk Analysis series in four volumes; volume IV was published in 2009. The edition has 492 pages.
Aimed at analysts, portfolio managers and finance students who need to understand VaR models and market risk management.
