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An Introduction to Market Risk Measurement (Paperback) Loot Price: R1,406
Discovery Miles 14 060
Repayment Terms: R132 pm x 12*
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An Introduction to Market Risk Measurement (Paperback): K. Dowd

An Introduction to Market Risk Measurement (Paperback)

K. Dowd

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Loot Price R1,406 Discovery Miles 14 060 | Repayment Terms: R132 pm x 12*

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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.

General

Imprint: John Wiley & Sons
Country of origin: United States
Release date: August 2002
First published: October 2002
Authors: K. Dowd
Dimensions: 244 x 189 x 17mm (L x W x T)
Format: Paperback
Pages: 304
ISBN-13: 978-0-470-84748-0
Categories: Books > Business & Economics > Finance & accounting > Finance > Investment & securities > Stocks & shares
Books > Business & Economics > Business & management > Management & management techniques > Management decision making > General
Books > Money & Finance > Investment & securities > Stocks & shares
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LSN: 0-470-84748-4
Barcode: 9780470847480

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