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

Dowd, Kevin

ISBN 10: 0470847484 ISBN 13: 9780470847480

Publisher: Wiley, 2002

Synopsis

This book includes a CD-ROM that contains Excel workbooks and a Matlab manual and software. It covers the subject without advanced or exotic material.

About this title

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.

About this edition

• Publisher: Wiley
• Publication date: 2002
• ISBN 10: 0470847484
• ISBN 13: 9780470847480
• Binding: Product Bundle
• Edition number: 1
• Number of pages: 490