An Introduction to Market Risk Measurement - Brossura

Dowd, Kevin

Brossura

ISBN 10: 0470847484 ISBN 13: 9780470847480

Casa editrice: Wiley, 2002

Riassunto

• Includes a CD-ROM that contains Excel workbooks and a Matlab manual and software.
• Covers the subject without advanced or exotic material.

Su questo libro

Informazioni sull'autore

KEVIN DOWD is Professor of Financial Risk Management at Nottingham University Business School and a member of the School's Centre for Research in Risk and Insurance Studies.

Dalla quarta di copertina

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.

Dettagli dell'edizione

• Editore: Wiley
• Data di pubblicazione: 2002
• Lingua: Inglese
• ISBN 10: 0470847484
• ISBN 13: 9780470847480
• Rilegatura: Copertina flessibile
• Numero edizione: 1
• Numero di pagine: 304
• Contatto del produttore: non disponibile
• Persona responsabile: Buchpark GmbH; gpsr@buchpark.de; ; Krügerweg 1; Trebbin; Brandenburg; 14959; Germania