An Introduction to Market Risk Measurement (Paperback)

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
LSN:	0-470-84748-4
Barcode:	9780470847480

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