An Introduction to Market Risk Measurement by Kevin Dowd

An Introduction to Market Risk Measurement by Kevin Dowd
Item# 11032311490
Retail price: US$85.00
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An Introduction to Market Risk Measurement by Kevin Dowd

Description:

Includes a CD-ROM that contains Excel workbooks and a Matlab manual and software.

Covers the subject without advanced or exotic material.





TABLE OF CONTENTS:



The Risk Measurement Revolution

Measures of Financial Risk

Basic Issues in Measuring Market Risk

Nonparametric VAR and ETL

Parametric VAR and ETL

Simulation Approaches to the Estimation of VAR and ETL

Incremental and Component Risks

Estimating Liquidity Risks

Backtesting Market Risk Models

Stress Testing

Model Risk



AUTHOR INFORMATION:



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.