Measuring Market Risk

Description

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. The book is packaged with a CD containing a MATLAB folder of 150 risk measurement functions, with additional examples in Excel/VBA.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.

Description

CD-ROM contains: MATLAB folder of risk measurement functions -- Examples in Excel/VBA.

First Sentence

Financial risk is the prospect of financial loss-or gain-due to unforeseen changes underlying risk factors.

Subjects

Other Editions

• Measuring Market RiskJohn Wiley & Sons2002-10-15
• Measuring Market RiskWiley, John & Sons, Incorporated2002-01-01
• Measuring Market RiskeBookJohn Wiley & Sons, Ltd.2003-01-01
• Measuring market riskJohn Wiley & Sons Inc.2005-01-01
• Measuring Market RiskWiley & Sons, Incorporated, John2007-01-01
• Measuring Market RiskWiley & Sons, Incorporated, John2010-01-01