An Introduction to Market Risk Measurement
Wiley | 2002-10-18 | ISBN: 0470847484 | 304 pages | PDF | 1,3 MB
This book presents the fundamentals of market risk. Divided into two parts, the first covers Value at Risk and Expected Tail Loss, and the second part provides a toolkit of techniques suitable for market risk management.
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 Divided into two parts, part one discusses the various risk measurement techniques, whilst part two provides a toolkit of the main tools required to understand market risk measurement.