Measuring Market Risk by Kevin Dowd

Measuring Market Risk by Kevin Dowd
Item# 11052011530
Retail price: US$25.00
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Measuring Market Risk

by Kevin Dowd

Publisher: Wiley (October 15, 2002)

Review "ˇ­of value to professional risk managers and academics who are serious about wanting to keep up to date with developments in market risk measurementˇ­" (Financial World, October 2002)

Product Description

The most up-to-date resource on market risk methodologies Financial professionals in both the front and back office require an understanding of market risk and how to manage it. Measuring Market Risk provides this understanding with an overview of the most recent innovations in Value at Risk (VaR) and Expected Tail Loss (ETL) estimation. This book is filled with clear and accessible explanations of complex issues that arise in risk measuring-from parametric versus nonparametric estimation to incre-mental and component risks. Measuring Market Risk also includes accompanying software written in Matlab(r)-allowing the reader to simulate and run the examples in the book.