John Wiley & Sons, 2005. This is an ex-library book and may have the usual library/used-book markings inside.This book has hardback covers. Book contains pencil markings. In fair condition, suitable as a study copy. Dust jacket in good condition. Please note the Image in this listing is a stock photo and may not match the covers of the actual item,1050grams, ISBN:9780470013038

Synopsis

This book offers an extensive and up-to-date review of market risk measurement, focusing particularly on the estimation of value at risk (VaR) and expected tail loss (ETL).Measuring Market Risk provides coverage of parametric and non-parametric risk estimation, simulation, numerical methods, liquidity risks, risk decomposition and budgeting, backtesting, stress testing, and model risk, as well as appendices on mapping delta-gamma approximations and options VaR. Divided into two parts, the book also comes with a Toolkit containing 11 toolboxes dealing with technical issues often used in market risk measurement, including quantile error estimation, order statistics, principal components and factor analysis, non-parametric density estimation, fat-tailed distributions, extreme-value theory, simulation methods, volatility and correlation estimation, and copulas. The book is packaged with a CD containing a MATLAB folder of 150 risk measurement functions, with additional examples in Excel/VBA.Measuring Market Risk is designed for practitioners involved in risk measurement and management. It will also be of use to MBA, MA and MSc programmes in finance, financial engineering, risk management and related subjects in addition to academics and researchers working in this field.

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Details

Seller: Anybook.com (GB)
Seller's Inventory #: 8679008
Title: Measuring Market Risk
Author: Kevin Dowd
Book Condition: Used
Binding: Hardcover
ISBN 10: 0470013036
ISBN 13: 9780470013038
Publisher: John Wiley & Sons
Date Published: 2005

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Glossary

Glossary

Some terminology that may be used in this description includes:

Jacket: Sometimes used as another term for dust jacket, a protective and often decorative wrapper, usually made of paper which wraps...
Stock Photo: Stock photos are a generic representation of the book and do not reflect the actual item or its condition. These are shown in...
Fair: is a worn book that has complete text pages (including those with maps or plates) but may lack endpapers, half-title, etc....