Sinossi
Fully revised and restructured, Measuring Market Risk, Second Edition includes a new chapter on options risk management, as well as substantial new information on parametric risk, non-parametric measurements and liquidity risks, more practical information to help with specific calculations, and new examples including Q&A’s and case studies.
Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.
Informazioni sull?autore
Kevin Dowd is Professor of Financial Risk Management at Nottingham University. Kevin is an Adjunct Scholar at the Cato Institute in Washington, D.C., and a Fellow of the Pensions Institute at Birkbeck College.
Dalla quarta di copertina
The second edition of Measuring Market Risk provides an extensive treatment of the state of the art in market risk measurement. The book covers all aspects of modern market risk measurement, and in doing so emphasises new developments in the subject such as coherent and spectral risk measures, the uses of copulas, new applications of stochastic methods, and new developments in backtesting.
The topics covered include: the rise of VaR as a risk measure; different measures of financial risk (including coherent and distortion risk measures); non-parametric approaches (including the bootstrap, order statistics, non-parametric density estimation, and principal components and factor analysis); parametric approaches (including copulas and extreme-value approaches); the theory and applications of stochastic methods; the forecasting of volatilities and correlations; liquidity risk; options risk measurement; risk decomposition; mapping; stress-testing; backtesting; and model risk.
Measuring Market Risk is written in a clear and accessible style, and includes many worked examples of market risk measurement problems.
Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.
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Measuring Market Risk
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Hardcover. Condizione: new. Hardcover. Fully revised and restructured, Measuring Market Risk, Second Edition includes a new chapter on options risk management, as well as substantial new information on parametric risk, non-parametric measurements and liquidity risks, more practical information to help with specific calculations, and new examples including Q&As and case studies. Includes a chapter on options risk management, as well as information on parametric risk, non-parametric measurements and liquidity risks. This title also includes practical information to help with specific calculations, and various examples including Q&A's and case studies. It is accompanied by a CD-ROM. Shipping may be from multiple locations in the US or from the UK, depending on stock availability. Codice articolo 9780470013038
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