Securities Institute

The value-at-risk measurement methodology is a widely-used tool in financial market risk management. The fifth 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 • Portfolio VaR • Credit risk and credit VaR • Stressed VaR • Critique and VaR during crisis Topics are illustrated with Bloomberg screens, worked examples and exercises. 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 risk measurement techniques. Foreword by Carol Alexander, Professor of Finance, University of Sussex.

The importance of banks to the world's economic system cannot be overstated. The foundation of consistently successful banking practice remains efficient asset-liability management and liquidity risk management. This book introduces the key concepts of banking, concentrating on the application of robust risk management principles from a practitioner viewpoint, and how to incorporate these principles into bank strategy. Detailed coverage includes: • Bank strategy and capital • Understanding the yield curve • Principles of asset-liability management • Effective liquidity risk management • The role of the bank ALM committee Written in the author's trademark accessible style, this book is a succinct and focused analysis of the core principles of good banking practice.

The bond markets are a vital part of the world economy. The fourth edition of Professor Moorad Choudhry's benchmark reference text An Introduction to Bond Markets brings readers up to date with latest developments and market practice, including the impact of the financial crisis and issues of relevance for investors. This book offers a detailed yet accessible look at bond instruments, and is aimed specifically at newcomers to the market or those unfamiliar with modern fixed income products. The author capitalises on his wealth of experience in the fixed income markets to present this concise yet in-depth coverage of bonds and associated derivatives. Topics covered include: • Bond pricing and yield • Duration and convexity • Eurobonds and convertible bonds • Structured finance securities • Interest-rate derivatives • Credit derivatives • Relative value trading Related topics such as the money markets and principles of risk management are also introduced as necessary background for students and practitioners. The book is essential reading for all those who require an introduction to the financial markets.