Market Risk Management

Brings together the theory, practice, and policies of market risk management. This work offers a concise, applied treatment that provides explanations, relevant examples, and a guide to further reading. It emphasizes 'how to' and includes numerous case studies, Excel worksheets, and VBA code.

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Market risk management is a new and rapidly evolving field that until now, has lacked a practical, quickly digestible reference on the theory that underpins its everyday practice. This book fills that gap, bringing together the very latest in the theory, practice, and policies of market risk management. It offers a concise, applied treatment that provides clear explanations, relevant examples, and a guide to further reading. Written for practitioners, the book emphasizes "how to" and includes numerous case studies, Excel worksheets, and VBA code. Up-to-date topics include coherent risk and expected shortfall, as well as how to integrate these methods into an energy risk management practice.