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Measuring Market Risk with Value at Risk

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Risk Management in Financial Firms

Abstract

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.

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