Measuring Market Risk, Second Edition

✍ Scribed by Kevin Dowd(auth.)

• Year: 2005
• Tongue: English
• Leaves: 398
• Category: Library

✦ Synopsis

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. Content:
Chapter 1 The Rise of Value at Risk (pages 1–17):
Chapter 2 Measures of Financial Risk (pages 19–52):
Chapter 3 Estimating Market Risk Measures: An Introduction and Overview (pages 53–81):
Chapter 4 Non?parametric Approaches (pages 83–125):
Chapter 5 Forecasting Volatilities, Covariances and Correlations (pages 127–150):
Chapter 6 Parametric Approaches (I) (pages 151–187):
Chapter 7 Parametric Approaches (II): Extreme Value (pages 189–207):
Chapter 8 Monte Carlo Simulation Methods (pages 209–226):
Chapter 9 Applications of Stochastic Risk Measurement Methods (pages 227–248):
Chapter 10 Estimating Options Risk Measures (pages 249–264):
Chapter 11 Incremental and Component Risks (pages 265–277):
Chapter 12 Mapping Positions to Risk Factors (pages 279–290):
Chapter 13 Stress Testing (pages 291–307):
Chapter 14 Estimating Liquidity Risks (pages 309–320):
Chapter 15 Backtesting Market Risk Models (pages 321–349):
Chapter 16 Model Risk (pages 351–363):