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An Introduction to Market Risk Measurement de K Dowd

An Introduction to Market Risk Measurement: The Wiley Finance Series

Autor K Dowd
en Limba Engleză Paperback – 28 aug 2002
Dieses Buch gibt einen berblick ber die aktuellsten Entwicklungen im Bereich Value at Risk (VaR) und Expected Tail Loss (ETL).

Mit umfassenden Informationen zu verschiedenen Themenschwerpunkten, u.a. zum Marktrisiko, zu den wichtigsten Berechnungsmethoden des Finanzrisikos, zu nicht-parametrischem VaR und ETL, parametischer VaR-Schtzung, Simulationsmethoden, Grenz- und Teilrisiken, Liquidittsrisiken, usw.

Abgedeckt werden sieben Tools zur Risikobewertung, die Cornish-Fisher Expansion, Bootstrap-Methoden und Monte Carlo Simulationen sowie vieles andere mehr.

Verstndlich und nachvollziehbar geschrieben.

Mit einer Begleit-CD. Sie enthlt eine Measuring Market Risk Toolbox in Matlab sowie eine Auswahl von Excel Workbooks, die anschauliche Beispiele zu grundlegenden Funktionen zur Risikobewertung geben.

Mit zwei Anhngen. Sie bieten Informationen zu Mapping Positions und Risikofaktoren.
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Specificații

ISBN-13: 9780470847480
ISBN-10: 0470847484
Pagini: 304
Dimensiuni: 189 x 246 x 17 mm
Greutate: 0.67 kg
Editura: Wiley
Seria The Wiley Finance Series

Locul publicării:Chichester, United Kingdom

Public țintă

Students studying Masters level programmes in Finance, Financial Engineering, Risk Management and related subjects.
Professional training courses on market risk and risk management
New recruits to the banking industry who require an understanding of market risk

Cuprins

Notă biografică

KEVIN DOWD is Professor of Financial Risk Management at Nottingham University Business School and a member of the School's Centre for Research in Risk and Insurance Studies.