An Introduction to Market Risk Measurement (The Wiley...

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Business & Economics - Personal Finance
An Introduction to Market Risk...

An Introduction to Market Risk Measurement (The Wiley Finance Series)

Name: An Introduction to Market Risk Measurement (The Wiley Finance Series)
ISBN: 9780470847480

Kevin Dowd

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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.

カテゴリー:

Business & Economics - Personal Finance

年:

2002

出版社:

Wiley

言語:

english

ページ:

307

ISBN 10:

0470847484