Measuring Market Risk + CD-ROM , 2nd Edition
Editorial Reviews
Book Description
Fully revised and restructured, Measuring Market Risk, Second Edition includes a new chapter on options risk management, as well as substantial new information on parametric risk, non-parametric measurements and liquidity risks, more practical information to help with specific calculations, and new examples including Q&A’s and case studies. The accompanying CD-ROM includes a Measuring Market Risk toolbox, with about 150 risk measurement functions, a manual and a selection of Excel workbooks illustrating basic risk measurement functions.
Download Description
"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. "
--This text refers to the
Digital
edition.
Measuring Market Risk + CD-ROM , 2nd Edition
Measuring Market Risk + CD-ROM , 2nd Edition,Kevin Dowd,John Wiley & Sons,0470013036,Business & Economics,Business / Economics / Finance,Business/Economics,Finance,Financial futures,Investments & Securities - General,Mathematical models,Portfolio management,Risk management,Business & Economics / Finance,Investment & securities
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