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.
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.
About the Author
KEVIN DOWD is Professor of Financial Risk Management at Nottingham University Business School and a member of the School’s Centre for Research in Risk and Insurance Studies.
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