Authors: Kevin Dowd
ISBN-13: 9780470013038, ISBN-10: 0470013036
Format: Hardcover
Publisher: Wiley, John & Sons, Incorporated
Date Published: July 2005
Edition: REV
Kevin Dowd (Nottingham, UK) is Professor of Financial Risk Management at Nottingham University Business School. He is the author of Beyond Value at Risk: The New Science of Risk Management (Wiley: 0-471-97621-0). Dowd regularly has articles published in Financial Engineering News and Derivatives Professional.
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.
1 | The rise of value at risk | |
2 | Measures of financial risk | |
3 | Estimating market risk measures : an introduction and overview | |
4 | Non-parametric approaches | |
5 | Forecasting volatilities, covariances and correlations | |
6 | Parametric approaches (I) | |
7 | Parametric approaches (II) : extreme value | |
8 | Monte Carlo simulation methods | |
9 | Applications of stochastic risk measurement methods | |
10 | Estimating options risk measures | |
11 | Incremental and component risks | |
12 | Mapping positions to risk factors | |
13 | Stress testing | |
14 | Estimating liquidity risks | |
15 | Bactesting market risk models | |
16 | Model risk |