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Measuring Market Risk Hardcover - 2002 - 1st Edition
by Kevin Dowd
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Details
- Title Measuring Market Risk
- Author Kevin Dowd
- Binding Hardcover
- Edition number 1st
- Edition 1
- Condition New
- Pages 392
- Volumes 1
- Language ENG
- Publisher Wiley
- Date October 15, 2002
- Illustrated Yes
- Bookseller's Inventory # BIBR-30673
- ISBN 9780471521747 / 0471521744
- Weight 1.84 lbs (0.83 kg)
- Dimensions 10.98 x 5.68 x 1.05 in (27.89 x 14.43 x 2.67 cm)
- Library of Congress subjects Risk management, Financial futures
- Library of Congress Catalog Number 2002071367
- Dewey Decimal Code 332.632
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Summary
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.
First line
Financial risk is the prospect of financial loss-or gain-due to unforeseen changes underlying risk factors.
