(Larger Image)
|
An Introduction to Market Risk Measurement (The Wiley Finance Series)
by Kevin Dowd
Product Group: Book
Publisher: Wiley (2002-10-18)
ISBN: 0470847484
EAN: 9780470847480
Dewey Decimal #: 658.1550151
Binding/Media: Paperback - 304 pages
SKU: 080524004
Condition: New
Comments: 0470847484 New, never read, may have minor wear on cover.
|
Editorial Reviews
|
Product Description
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.
|
|
|
|
|