An Introduction to Market Risk Measurement

Front Cover
John Wiley & Sons, Mar 14, 2003 - Business & Economics - 304 pages
0 Reviews
  • Includes a CD-ROM that contains Excel workbooks and a Matlab manual and software.
  • Covers the subject without advanced or exotic material.
 

What people are saying - Write a review

We haven't found any reviews in the usual places.

Contents

1 The Risk Measurement Revolution
1
2 Measures of Financial Risk
13
3 Basic Issues in Measuring Market Risk
35
4 Nonparametric VaR and ETL
55
5 Parametric VaR and ETL
71
6 Simulation Approaches to VaR and ETL Estimation
97
7 Incremental and Component Risks
117
8 Estimating Liquidity Risks
127
10 Stress Testing
161
11 Model Risk
177
Toolkit
189
Bibliography
261
Author Index
271
Subject Index
275
Software Index
283
Copyright

9 Backtesting Market Risk Models
141

Other editions - View all

Common terms and phrases

About the author (2003)

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.

Bibliographic information