Cengage Learning EMEA MEASURNG MANAG DERIV MARK RISK

Recent well-publicized losses on the derivatives markets have highlighted the need for a much closer understanding of the price risk involved, not just among the specialists but at all levels within financial institutions and end-user companies. This text sets out a clear, logical approach to the measurement of price risk positions using the techniques of factor sensitivity analysis and value at risk, illustrated with straightforward numerical examples. It should be a useful guide to a key area of risk management.