Measuring Market Risk
Fully revised and restructured, "Measuring Market Risk, Second Edition" includes a new chapter on options risk management, as well as substantial new information on parametric risk, non-parametric measurements and liquidity risks, more practical information to help with specific calculations, and new examples including Q&A's and case studies.
"synopsis" may belong to another edition of this title.
From the Back Cover:
The second edition of Measuring Market Risk provides an extensive treatment of the state of the art in market risk measurement. The book covers all aspects of modern market risk measurement, and in doing so emphasises new developments in the subject such as coherent and spectral risk measures, the uses of copulas, new applications of stochastic methods, and new developments in backtesting.
From the Inside Flap:
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.
Measuring Market Risk provides an overview of the state-of-the-art in VaR and ETL estimation. Balancing theory with practice through the use of software simulations, the author explains, in an accessible way, how market risk can be measured.
"About this title" may belong to another edition of this title.
- PublisherWiley
- Publication date2005
- ISBN 10 0470013036
- ISBN 13 9780470013038
- BindingProduct Bundle
- Edition number2
- Number of pages416
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Measuring Market Risk
Published by
Wiley 2005-05-27, Hoboken
(2005)
ISBN 10: 0470013036
ISBN 13: 9780470013038
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