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Measuring Market Risk 1st Edition by Kevin Dowd ISBN 0471521744 9780471530305

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Measuring Market Risk 1st Edition Kevin Dowd Digital Instant Download

Author(s): Kevin Dowd
ISBN(s): 0471521744
Edition: 1
File Details: PDF, 1.92 MB
Year: 2002
Language: english
SKU: EB-2532586 Category: Tag:

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ISBN 10: 0471521744 
ISBN 13: 9780471530305
Author: Kevin Dowd

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 incre-mental and component risks. Measuring Market Risk also includes accompanying software written in Matlab—allowing the reader to simulate and run the examples in the book.

Measuring Market Risk 1st Table of contents:

Part One: Introduction to Market Risk
Chapter 1: Understanding Market Risk
Chapter 2: Types of Market Risk: Equity, Interest Rate, Currency, and Commodity
Chapter 3: The Importance of Measuring Risk in Financial Markets

Part Two: Quantitative Foundations
Chapter 1: Probability and Statistics for Risk Measurement
Chapter 2: Time Series Analysis and Volatility
Chapter 3: Correlation, Covariance, and Dependence

Part Three: Value at Risk (VaR) Models
Chapter 1: Historical Simulation
Chapter 2: Variance-Covariance Approach
Chapter 3: Monte Carlo Simulation
Chapter 4: Limitations and Pitfalls of VaR

Part Four: Stress Testing and Scenario Analysis
Chapter 1: Designing Stress Scenarios
Chapter 2: Reverse Stress Testing
Chapter 3: Integrating Stress Tests with Risk Management

Part Five: Advanced Risk Measurement Techniques
Chapter 1: Expected Shortfall (Conditional VaR)
Chapter 2: Extreme Value Theory
Chapter 3: Credit and Liquidity Adjustments

Part Six: Portfolio Risk and Risk Decomposition
Chapter 1: Measuring Portfolio Volatility
Chapter 2: Factor Models
Chapter 3: Risk Contributions and Sensitivity Analysis

Part Seven: Regulatory Perspectives
Chapter 1: Basel Accords and Capital Requirements
Chapter 2: Risk Reporting and Disclosure
Chapter 3: Compliance and Best Practices

Part Eight: Risk Management Applications
Chapter 1: Hedging Strategies
Chapter 2: Risk-Adjusted Performance Metrics
Chapter 3: Integrating Risk Measurement into Decision-Making

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Tags: Kevin Dowd, Market Risk