Measuring Market Risk Hardcover - 2005 - 2nd Edition
by Kevin Dowd
- Used
- Hardcover
Description
Standard delivery: 7 to 20 days
Details
- Title Measuring Market Risk
- Author Kevin Dowd
- Binding Hardcover
- Edition number 2nd
- Edition 2
- Pages 416
- Volumes 1
- Language ENG
- Publisher John Wiley & Sons
- Date 2005
- Features Bibliography, Dust Cover, Index, Table of Contents
- Bookseller's Inventory # 8679008
- 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 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.
