Measuring Market Risk
1st Edition
Published on 29. August 2002
Book
Hardback
650 pages
978-0-471-52174-7 (ISBN)
Description
This book covers the state-of-the-art in Value at Risk and Expected Tail Loss estimation. It provides a detailed resource for practicing and understanding both the measurement and management aspects of market risk management.
Reviews / Votes
"...of value to professional risk managers and academics who are serious about wanting to keep up to date with developments in market risk measurement..." (Financial World, October 2002)More details
Series
Edition
1., Aufl.
Language
English
Place of publication
Chichester
United Kingdom
Publishing group
John Wiley and Sons Ltd
Target group
Professional and scholarly
Illustrations
Illustrations
Dimensions
Height: 25.1 cm
Width: 17.4 cm
Weight
840 gr
ISBN-13
978-0-471-52174-7 (9780471521747)
Schweitzer Classification
Other editions
New editions
Additional editions
Person
Kevin Dowd (Nottingham, UK) is Professor of Financial Risk Management at Nottingham University Business School. He is the author of Beyond Value at Risk: The New Science of Risk Management (Wiley: 0-471-97621-0). Dowd regularly has articles published in Financial Engineering News and Derivatives Professional.
Content
Preface.Acknowledgements. The Risk Measurement Revolution. Measures of Financial Risk. Basic Issues in Measuring Market Risk. Non--parametric VaR and ETL. Parametric VaR and ETL. Simulation Approaches to VaR and ETL Estimation. Lattice Approaches to VaR and ETL Estimation. Incremental and Component Risks. Estimating Liquidity Risks. Backtesting Market Risk Models. Stress Testing. Model Risk. Toolkit. Bibliography.Auhor Index.Subject Index.Software Index.