Items related to Measuring Market Risk (The Wiley Finance Series)
Synopsis
The most up–to–date resource on market risk methodologies
Financial professionals in both the front and back office require an understanding of market risk and how to manage it. Measuring Market Risk provides this understanding with an overview of the most recent innovations in Value at Risk (VaR) and Expected Tail Loss (ETL) estimation. This book is filled with clear and accessible explanations of complex issues that arise in risk measuring–from parametric versus nonparametric estimation to incre–mental and component risks. Measuring Market Risk also includes accompanying software written in Matlab(r)–allowing the reader to simulate and run the examples in the book.
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Review
" of value to professional risk managers and academics who are serious about wanting to keep up to date with developments in market risk measurement " (Financial World, October 2002)
From the Back Cover
This book offers an extensive and up–to–date review of market risk measurement, focusing particularly on the estimation of value at risk (VaR) and expected tail loss (ETL).
Measuring Market Risk provides coverage of parametric and non–parametric risk estimation, simulation, numerical methods, liquidity risks, risk decomposition and budgeting, backtesting, stress testing, and model risk, as well as appendices on mapping delta–gamma approximations and options VaR.
Divided into two parts, the book also comes with a Toolkit containing 11 toolboxes dealing with technical issues often used in market risk measurement, including quantile error estimation, order statistics, principal components and factor analysis, non–parametric density estimation, fat–tailed distributions, extreme–value theory, simulation methods, volatility and correlation estimation, and copulas. The book is packaged with a CD containing a MATLAB folder of 150 risk measurement functions, with additional examples in Excel/VBA.
Measuring Market Risk is designed for practitioners involved in risk measurement and management. It will also be of use to MBA, MA and MSc programmes in finance, financial engineering, risk management and related subjects in addition to academics and researchers working in this field.
"About this title" may belong to another edition of this title.
- PublisherJohn Wiley & Sons
- Publication date2002
- ISBN 10 0471521744
- ISBN 13 9780471521747
- BindingHardcover
- LanguageEnglish
- Number of pages392
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