Measuring Market Risk

Kevin Dowd - Collection Wiley Finance

410 pages, parution le 21/06/2005 (2^eme édition)

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Résumé

The second edition of Measuring Market Risk provides an extensive treatment of the state of the art in market risk measurement. The book covers all aspects of modern market risk measurement, and in doing so emphasises new developments in the subject such as coherent and spectral risk measures, the uses of copulas, new applications of stochastic methods, and new developments in backtesting.

The topics covered include: the rise of VaR as a risk measure; different measures of financial risk (including coherent and distortion risk measures); non-parametric approaches (including the bootstrap, order statistics, non-parametric density estimation, and principal components and factor analysis); parametric approaches (including copulas and extreme-value approaches); the theory and applications of stochastic methods; the forecasting of volatilities and correlations; liquidity risk; options risk measurement; risk decomposition; mapping; stress-testing; backtesting; and model risk.

Measuring Market Risk is written in a clear and accessible style, and includes many worked examples of market risk measurement problems. It also comes with a CD-ROM containing a set of Excel workbooks and an extensive set of MATLAB risk measurement functions.

L'auteur - Kevin Dowd

Kevin Dowd is Professor of Risk Management at Nottingham University Business School, where he works in the Centre for Risk and Insurance Studies. He is also Director of Research for Black Swan Risk Advisors, based in Berkeley, CA. Professor Dowd did his PhD in macroeconomics, and has written extensively on financial and monetary economics, most particularly on financial regulation and free banking and, more recently, on financial risk management. He is a regular columnist for 'Financial Engineering News'.

Sommaire

Preface to the Second Edition
Acknowledgements
The Rise of Value at Risk
Measures of Financial Risk
Estimating Market Risk Measures: An Introduction and Overview
Non-parametric Approaches
Forecasting Volatilities, Covariances and Correlations
Parametric Approaches (I)
Parametric Approaches (II): Extreme Value
Monte Carlo Simulation Methods
Applications of Stochastic Risk Measurement Methods
Estimating Options Risk Measures
Incremental and Component Risks
Mapping Positions to Risk Factors
Stress Testing
Estimating Liquidity Risks
Backtesting Market Risk Models
Model Risk
Bibliography
Subject Index

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Wiley
Auteur(s)	Kevin Dowd
Collection	Wiley Finance
Parution	21/06/2005
Édition	2^eme édition
Nb. de pages	410
Format	17,5 x 25
Couverture	Relié
Poids	945g
Intérieur	Noir et Blanc
EAN13	9780470013038
ISBN13	978-0-470-01303-8