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An Introduction to Market Risk Measurement (The Wiley Finance Series)
An Introduction to Market Risk Measurement - The Wiley Finance Series
Author: Kevin Dowd
This book provides an introduction to Value at Risk (VaR) and expected tail loss (ETL) estimation and is a student-oriented version of Measuring Market Risk (John Wiley & Sons 2002). An Introduction to Market Risk Measurement includes coverage of:
  • Parametric and non-parametric risk estimation
  • Simulation ...  more »
  • Numerical Methods
  • Liquidity Risks
  • Risk Decomposition and Budgeting
  • Backtesting
  • Stress Testing
  • Model Risk
Divided into two parts, part one discusses the various risk measurement techniques, whilst part two provides a toolkit of the main tools required to understand market risk measurement. A CD is packaged with the book, containing a MATLAB folder of risk measurement functions, in addition to some examples in Excel/VBA.
ISBN-13: 9780470847480
ISBN-10: 0470847484
Publication Date: 10/18/2002
Pages: 304
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Publisher: Wiley
Book Type: Paperback
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