Dowd, Kevin An Introduction to Market Risk Measurement Wiley Finance Series
1. Auflage - August 2002 55,90 Euro 2002. XX, 284 Seiten, Softcover - Handbuch/Nachschlagewerk - ISBN-10: 0-470-84748-4 ISBN-13: 978-0-470-84748-0 - John Wiley & Sons
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Kurzbeschreibung This book presents the fundamentals of market risk. Divided into two parts, the first covers Value at Risk and Expected Tail Loss, and the second part provides a toolkit of techniques suitable for market risk management.
Aus dem Inhalt The Risk Measurement Revolution
Measures of Financial Risk
Basic Issues in Measuring Market Risk
Nonparametric VAR and ETL
Parametric VAR and ETL
Simulation Approaches to the Estimation of VAR and ETL
