An introduction to market risk measurement
Kevin Dowd
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 includes coverage of:
- Parametric and non-parametric risk estimation
- Simulation
- Numerical Methods
- Liquidity Risks
- Risk Decomposition and Budgeting
- Backtesting
- Stress Testing
- Model Risk
Kategorien:
Jahr:
2002
Verlag:
Wiley
Sprache:
english
Seiten:
307
ISBN 10:
0470855207
ISBN 13:
9780470855201
Serien:
The Wiley Finance Series
Datei:
PDF, 1.42 MB
IPFS:
,
english, 2002