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

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9780470847480: An Introduction to Market Risk Measurement (The Wiley Finance Series)

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

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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.

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.

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