《An Introduction to Market Risk Measurement》
by Kevin Dowd

INTENDED READERSHIP
This book provides an introduction to VaR and ETL estimation, and is a more basic, student-oriented
version of Measuring Market Risk, also published by John Wiley. The present book differs from
Measuring Market Risk in cutting out some of the more difficult material — quasi-Monte Carlo
methods, lattice methods, analytical and algorithmic approaches to options VaR, non-parametric
density estimation, copulas, and other either advanced or exotic material. The reader who wants the
more advanced material is therefore advised to go for the other book. However, most students should
find An Introduction to Market Risk Measurement is better suited to their needs.
To get the most out of the book requires a basic knowledge of computing and spreadsheets,
statistics (including some familiarity with moments and density/distribution functions), mathematics
(including basic matrix algebra), and some prior knowledge of finance, most especially derivatives
and fixed-income theory. Most practitioners and academics should have relatively little difficulty
with it, but for students this material is best taught after they have already done their quantitative
methods, derivatives, fixed-income and other ‘building block’ courses.