An Introduction to Market Risk Measurement
Published on 18. December 2002
304 pages
978-0-470-85520-1 (ISBN)
Description
* Includes a CD-ROM that contains Excel workbooks and a Matlabmanual and software.
* Covers the subject without advanced or exotic material.
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Kevin Dowd
An Introduction to Market Risk Measurement
Book
08/2002
Wiley
€89.00
Shipment within 10-20 days
Person
KEVIN DOWD is Professor of Financial Risk Management atNottingham University Business School and a member of the School'sCentre 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
