Linda Allen & Anthony Saunders 
Understanding Market, Credit, and Operational Risk 
The Value at Risk Approach

A step-by-step, real world guide to the use of Value at Risk (Va R)
models, this text applies the Va R approach to the measurement of
market risk, credit risk and operational risk. The book describes
and critiques proprietary models, illustrating them with practical
examples drawn from actual case studies. Explaining the logic
behind the economics and statistics, this technically sophisticated
yet intuitive text should be an essential resource for all readers
operating in a world of risk.

* * Applies the Value at Risk approach to market, credit, and
operational risk measurement.

* Illustrates models with real-world case studies.

* Features coverage of BIS bank capital requirements.

विषयसूची

List of Figures xiv

List of Tables xvi

Preface xviii

List of Abbreviations xx

1 Introduction to Value at Risk (Va R) 1

2 Quantifying Volatility in Va R Models 21

3 Putting Va R to Work 82

4 Extending the Va R Approach to Non-tradable Loans 119

5 Extending the Va R Approach to Operational Risks 158

6 Applying Va R to Regulatory Models 200

7 Va R: Outstanding Research 233

Notes 236

References 257

Index 270

लेखक के बारे में

Linda Allen is Professor of Finance at the Zicklin School of
Business at Baruch College, City University of New York, and
Adjunct Professor of Finance at the Stern School of Business, New
York University. She is also the author of Capital Markets and
Institutions: A Global View and co-author of Credit Risk
Measurement: New Approaches to Value at Risk and Other
Paradigms, (2nd edition). She is an associate editor of the
Journal of Banking and Finance, Journal of Economics and
Business, and Multinational Finance Journal, and has
published extensively in top academic journals in finance and
economics.

Jacob Boudoukh is Professor of Finance and the founding
director of the Caesarea Edmond Benjamin de Rothschild Center for
Capital Markets and Risk Management at the Arison School of
Business, IDC; as well as holding positions at the Stern School of
Business, New York University. ormerly formerly with and currently
visiting Stern-NYU; and a member of the NBER. His work has been
published in academic journals such as The American Economic
Review, and The Journal of Financial Economics, as well
as practitioner journals such as Risk.Anthony
Saunders is John M. Schiff Professor of Finance and Chair of
the Department of Finance at the Stern School of Business, and
Economics and Finance Department Chair at New York University. He
is also editor of the Journal of Banking and Finance and the
Journal of Financial Markets, Institutions and Instruments,
and has published Financial Institutions and Management
(2nd4th edition). Professor Saunders has published widely in
top journals such as Journal of Finance.