Kevin Dowd

Measuring Market Risk

• Gebundenes Buch

Produktbeschreibung

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.

Produktdetails

• Wiley Finance Series
• Verlag: Wiley & Sons
• Seitenzahl: 650
• Englisch
• Abmessung: 250mm
• Gewicht: 840g
• ISBN-13: 9780471521747
• ISBN-10: 0471521744
• Artikelnr.: 14834252

Autorenporträt

Kevin Dowd (Nottingham, UK) is Professor of Financial Risk Management at Nottingham University Business School. He is the author of Beyond Value at Risk: The New Science of Risk Management (Wiley: 0-471-97621-0). Dowd regularly has articles published in Financial Engineering News and Derivatives Professional.

Inhaltsangabe

Preface

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

Lattice Approaches to the Estimation of VaR and ETL

Incremental and Component Risks

Estimating Liquidity Risk

Backtesting Market Risk Models

Stress Testing

Model Risk

Toolkit

Bibliography