An Introduction to Market Risk Measurement - Brossura

Dowd, Kevin

 
9780470847480: An Introduction to Market Risk Measurement
Brossura
ISBN 10: 0470847484 ISBN 13: 9780470847480
Casa editrice: Wiley, 2002

Sinossi

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

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 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.

Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.

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

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Trebbin
Brandenburg
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Germania