An Introduction to Market Risk Measurement




Author: Kevin Dowd
Type: eBook
Date Released: 2002
Format: pdf
Language: English
Page Count: 307
Isbn10 Code: 0470847484
Isbn13 Code: 9780470847480


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 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. From the Back Cover 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 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.

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