Kevin Dowd – Forexer Course

Measuring Market Risk – 1st edition

farzan — Sat, 15 Sep 2018 10:02:42 +0000

Book : Measuring Market Risk – 1st edition

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 incremental 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.

Measuring Market Risk 2nd Edition – Kevin Dowd

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Measuring Market Risk 2nd Edition – Kevin Dowd

farzan — Thu, 13 Sep 2018 09:31:03 +0000

Book : Measuring Market Risk 2nd Edition – Kevin Dowd

From the Back Cover

The second edition of Measuring Market Risk provides an extensive treatment of the state of the art in market risk measurement. The book covers all aspects of modern market risk measurement, and in doing so emphasises new developments in the subject such as coherent and spectral risk measures, the uses of copulas, new applications of stochastic methods, and new developments in backtesting.

The topics covered include: the rise of VaR as a risk measure ; different measures of financial risk (including coherent and distortion risk measures); non-parametric approaches (including the bootstrap, order statistics, non-parametric density estimation, and principal components and factor analysis); parametric approaches(including copulas and extreme-value approaches); the theory and applications of stochastic methods; the forecasting of volatilitie sand correlations; liquidity risk; options risk measurement; risk decomposition; mapping; stress-testing; backtesting; and model risk.

Measuring Market Risk is written in a clear and accessible style, and includes many worked examples of market risk measurement problems.

Measuring Market Risk – 1st edition

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An Introduction to Market Risk Measurement

farzan — Wed, 06 Jun 2018 14:44:57 +0000

An Introduction to Market Risk Measurement

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

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