An Introduction to Market Risk Measurement
Wiley Finance Series
1. Edition August 2002
XX, 284 Pages, Softcover
Handbook/Reference Book
ISBN:
978-0-470-84748-0
John Wiley & Sons
Short Description
This book presents the fundamentals of market risk. Divided into two parts, the first covers Value at Risk and Expected Tail Loss, and the second part provides a toolkit of techniques suitable for market risk management.
* Includes a CD-ROM that contains Excel workbooks and a Matlab manual and software.
* Covers the subject without advanced or exotic material.
The Risk Measurement Revolution
Measures of Financial Risk
Basic Issues in Measuring Market Risk
Nonparametric VAR and ETL
Parametric VAR and ETL
Simulation Approaches to the Estimation of VAR and ETL
Incremental and Component Risks
Estimating Liquidity Risks
Backtesting Market Risk Models
Stress Testing
Model Risk
Measures of Financial Risk
Basic Issues in Measuring Market Risk
Nonparametric VAR and ETL
Parametric VAR and ETL
Simulation Approaches to the Estimation of VAR and ETL
Incremental and Component Risks
Estimating Liquidity Risks
Backtesting Market Risk Models
Stress Testing
Model Risk
