An Introduction to Market Risk Measurement

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 RiskDivided 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.

Spis treści:
The Risk Measurement Revolution
Measures of Financial Risk
Basic Issues in Measuring Market Risk
Nonparametric VAR and ETL
Parametric VAR and ETL
Simulation Approaches to the Estimation of VAR and ETL
Incremental and Component Risks
Estimating Liquidity Risks
Backtesting Market Risk Models
Stress Testing
Model Risk

Nota biograficzna:
KEVIN DOWD is Professor of Financial Risk Management at Nottingham University Business School and a member of the School′s Centre for Research in Risk and Insurance Studies.

Okładka tylna:
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 RiskDivided 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.