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Measuring Market Risk
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Measuring Market Risk Hardcover - 2005 - 2nd Edition

by Dowd, Kevin

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  • Hardcover

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Wiley, 2005-07-11. Hardcover. New. New. In shrink wrap. Looks like an interesting title!
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Details

  • Title Measuring Market Risk
  • Author Dowd, Kevin
  • Binding Hardcover
  • Edition number 2nd
  • Edition 2
  • Condition New
  • Pages 416
  • Volumes 1
  • Language ENG
  • Publisher Wiley
  • Date 2005-07-11
  • Features Bibliography, Dust Cover, Index, Table of Contents
  • Bookseller's Inventory # Q-0470013036
  • ISBN 9780470013038 / 0470013036
  • Weight 2.1 lbs (0.95 kg)
  • Dimensions 9.98 x 6.82 x 1.14 in (25.35 x 17.32 x 2.90 cm)
  • Library of Congress subjects Risk management - Mathematical models, Portfolio management - Mathematical models
  • Library of Congress Catalog Number 2005010796
  • Dewey Decimal Code 332.632

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From the rear cover

The second edition of Measuring Market Risk provides an extensive treatment of the state of the art in market risk measurement. The book covers all aspects of modern market risk measurement, and in doing so emphasises new developments in the subject such as coherent and spectral risk measures, the uses of copulas, new applications of stochastic methods, and new developments in backtesting.

The topics covered include: the rise of VaR as a risk measure; different measures of financial risk (including coherent and distortion risk measures); non-parametric approaches (including the bootstrap, order statistics, non-parametric density estimation, and principal components and factor analysis); parametric approaches (including copulas and extreme-value approaches); the theory and applications of stochastic methods; the forecasting of volatilities and correlations; liquidity risk; options risk measurement; risk decomposition; mapping; stress-testing; backtesting; and model risk.

Measuring Market Risk is written in a clear and accessible style, and includes many worked examples of market risk measurement problems.

About the author

Kevin Dowd is Professor of Financial Risk Management at Nottingham University. Kevin is an Adjunct Scholar at the Cato Institute in Washington, D.C., and a Fellow of the Pensions Institute at Birkbeck College.