eBooks - Business - Financial Planning - Kevin Dowd - Measuring Market Risk
Measuring Market Risk eBook
by Kevin Dowd
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Platforms
Windows 98SE+, Mac OS X+, Palm Features
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Availability:
Download Now Price: $123.50
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Measuring Market Risk 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. 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. " |
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eBooks - Titles - Authors - Business - Financial Planning - Kevin Dowd - Measuring Market Risk eBook