Measuring market risk

Author(s)
Bibliographic Information

Measuring market risk

Kevin Dowd

(Wiley finance series)

Wiley, 2002

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Note

Includes bibliographical references (p. [341]-354) and indexes

Description and Table of Contents

Description

The most up--to--date resource on market risk methodologies Financial professionals in both the front and back office require an understanding of market risk and how to manage it. Measuring Market Risk provides this understanding with an overview of the most recent innovations in Value at Risk (VaR) and Expected Tail Loss (ETL) estimation. This book is filled with clear and accessible explanations of complex issues that arise in risk measuring--from parametric versus nonparametric estimation to incre--mental and component risks. Measuring Market Risk also includes accompanying software written in Matlab(r)--allowing the reader to simulate and run the examples in the book.

Table of Contents

Preface.Acknowledgements. The Risk Measurement Revolution. Measures of Financial Risk. Basic Issues in Measuring Market Risk. Non--parametric VaR and ETL. Parametric VaR and ETL. Simulation Approaches to VaR and ETL Estimation. Lattice Approaches to VaR and ETL Estimation. Incremental and Component Risks. Estimating Liquidity Risks. Backtesting Market Risk Models. Stress Testing. Model Risk. Toolkit. Bibliography.Auhor Index.Subject Index.Software Index.

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Details
  • NCID
    BA60272738
  • ISBN
    • 0471521744
  • LCCN
    2002071367
  • Country Code
    uk
  • Title Language Code
    eng
  • Text Language Code
    eng
  • Place of Publication
    Chichester
  • Pages/Volumes
    xix, 370 p.
  • Size
    25 cm.
  • Attached Material
    1 computer laser optical disk (4 3/4 in.)
  • Classification
  • Subject Headings
  • Parent Bibliography ID
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