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


Product DescriptionThis 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 CoverThis 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.

Product Details

• Paperback: 304 pages
• Publisher: Wiley (October 18, 2002)
• Language: English
• ISBN-10: 0470847484

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