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.

• ISBN: 0470847484
• ISBN-13: 9780470847480
• Author : Kevin Dowd
• Category : Business & Economics - Corporate Finance
• Language : English
• Format:  Paperback - Search for other formats
• Publication Date: 10/1/2002
• Publisher Imprint: John Wiley & Sons
• Price ($AUD): $178.95


• Usual Dispatch Time: 7 - 10 days

• Please note that all prices are in Australian dollars
• Some titles may be subject to availability