An Introduction to Market Risk Measurement (The Wiley Finance Series) - Softcover

Dowd, Kevin

 
9780470847480: An Introduction to Market Risk Measurement (The Wiley Finance Series)
Softcover
ISBN 10: 0470847484 ISBN 13: 9780470847480
Publisher: Wiley, 2002

Synopsis

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

"synopsis" may belong to another edition of this title.

About the Author

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.

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.

From the Inside Flap

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.

"About this title" may belong to another edition of this title.

Publisher
Wiley
Publication date
2002
Language
English
ISBN 10 
0470847484
ISBN 13 
9780470847480
Binding
Paperback
Edition number
1
Number of pages
304