An Introduction to Market Risk Measurement (The Wiley Finance Series) by Kevin Dowd

Product Description

Includes a CD-ROM that contains Excel workbooks and a Matlab manual and software.
Covers the subject without advanced or exotic material.
Product Details
Amazon Sales Rank: #1268025 in Books
Published on: 2002-10-18
Number of items: 1
Binding: Paperback
304 pages
Editorial Reviews

Download Description
"This book provides an introduction to Value at Risk (VaR) and expected tail loss (ETL) estimation and is a student-oriented version of Measuring Market Risk (John Wiley

Book Info
Provides an introduction to Value at Risk (VaR) and expected tail loss (ETL) estimation and is a student-oriented version of Measuring Market Risk. Supplies a toolkit of the main tools required to understand market risk measurement. Softcover. CD-ROM included.

From the Back Cover
This book provides an introduction to Value at Risk (VaR) and expected tail loss (ETL) estimation and is a student-oriented version of Measuring Market Risk (John Wiley & Sons 2002).

An Introduction to Market Risk Measurement includes coverage of:
Parametric and non-parametric risk estimation

Simulation

Numerical Methods

Liquidity Risks

Risk Decomposition and Budgeting

Backtesting

Stress Testing

Model Risk
Divided into two parts, part one discusses the various risk measurement techniques, whilst part two provides a toolkit of the main tools required to understand market risk measurement. A CD is packaged with the book, containing a MATLAB folder of risk measurement functions, in addition to some examples in Excel/VBA.