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An Introduction to Market Risk Measurement 4328

An Introduction to Market Risk Measurement

Written for students in finance, this book provides an introduction to value at risk (VaR) and expected tail loss (ETL). The book is a student-oriented version of Measuring Market Risk (ISBN 0-471-52174-4). Topics covered include parametric and nonparametric risk estimation, simulation, numerical methods, liquidity risks, stress testing, and model risk. MATLAB and the Statistics Toolbox are used to solve numerous application examples throughout the book.

Companion software available Companion Software: A set of MATLAB M-files is available on CD bound in the book. Retrieve companion software

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About This Book

Kevin Dowd

John Wiley & Sons, Inc., 2002

ISBN: 0-470-84748-4
Language: English