An Introduction to Market Risk Measurement
Published on 29. August 2002
Book
Paperback/Softback
XX, 284 pages
978-0-470-84748-0 (ISBN)
Description
* Includes a CD-ROM that contains Excel workbooks and a Matlab manual and software.
* Covers the subject without advanced or exotic material.
More details
Product info
Paperback
Series
Edition
1. Auflage
Language
English
Place of publication
New York
United States
Target group
College/higher education
Professional and scholarly
Dimensions
Height: 244 mm
Width: 189 mm
Thickness: 17 mm
Weight
671 gr
ISBN-13
978-0-470-84748-0 (9780470847480)
Schweitzer Classification
Other editions
Additional editions
Kevin Dowd
An Introduction to Market Risk Measurement
E-Book
12/2002
Wiley
€44.99
Available for download
Person
KEVIN DOWD is Professor of Financial Risk Management at Nottingham University Business School and a member of the School's Centre for Research in Risk and Insurance Studies.
Content
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
Incremental and Component Risks
Estimating Liquidity Risks
Backtesting Market Risk Models
Stress Testing
Model Risk