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

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

1783670
7307 руб.
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Описание
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 includescoverage 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.