An Introduction to Market Risk Measurement

Description

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