An Introduction to Market Risk Measurement (The Wiley Finance Series) (Paperback)
by Kevin Dowd



Editorial ReviewsProduct Description
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.

From the Back Cover
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.

See all Editorial Reviews

Product Details Paperback: 304 pages Publisher: Wiley (October 18, 2002) Language: English ISBN-10: 0470847484 ISBN-13: 978-0470847480