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

Dowd, Kevin

 
9780470847480: An Introduction to Market Risk Measurement (The Wiley Finance Series)
Softcover
ISBN 10: 0470847484 ISBN 13: 9780470847480
Verlag: Wiley, 2002

Inhaltsangabe

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

Die Inhaltsangabe kann sich auf eine andere Ausgabe dieses Titels beziehen.

Über die Autorin bzw. den Autor

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.

Von der hinteren Coverseite

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.

Aus dem Klappentext

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.

„Über diesen Titel“ kann sich auf eine andere Ausgabe dieses Titels beziehen.

Verlag
Wiley
Erscheinungsdatum
2002
Sprache
Englisch
ISBN 10 
0470847484
ISBN 13 
9780470847480
Einband
Taschenbuch
Auflage
1
Anzahl der Seiten
304
Kontakt zum Hersteller
Wiley-VCH GmbH
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