Measuring market risk
Author(s)
Bibliographic Information
Measuring market risk
（Wiley finance series）
Wiley, 2002
Available at 10 libraries
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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