Kevin Dowd

An Introduction to Market Risk Measurement

• Broschiertes Buch

Produktbeschreibung

This book presents the fundamentals of market risk. Divided into two parts, the first covers Value at Risk and Expected Tail Loss, and the second part provides a toolkit of techniques suitable for market risk management.

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

Produktdetails

• Wiley Finance Series
• Verlag: Wiley & Sons
• 1. Auflage
• Seitenzahl: 490
• Erscheinungstermin: 11. Oktober 2002
• Englisch
• Abmessung: 244mm x 189mm x 17mm
• Gewicht: 678g
• ISBN-13: 9780470847480
• ISBN-10: 0470847484
• Artikelnr.: 10946485

Autorenporträt

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.

Inhaltsangabe

The Risk Measurement Revolution Measures of Financial Risk Basic Issues in
Measuring Market Risk Nonparametric VAR and ETL Parametric VAR and ETL
Simulation Approaches to the Estimation of VAR and ETL Incremental and
Component Risks Estimating Liquidity Risks Backtesting Market Risk Models
Stress Testing Model Risk