(Ebook) Measuring Market Risk, Second Edition by Kevin Dowd(auth.) ISBN 9780470013038, 9781118673485, 0470013036, 1118673484

(Ebook) Measuring Market Risk, Second Edition by Kevin Dowd(auth.) ISBN 9780470013038, 9781118673485, 0470013036, 1118673484

Fully revised and restructured, Measuring Market Risk, Second Edition includes a new chapter on options risk management, as well as substantial new information on parametric risk, non-parametric measurements and liquidity risks, more practical information to help with specific calculations, and new examples including Q&A’s and case studies. Content: Chapter 1 The Rise of Value at Risk (pages 1–17): Chapter 2 Measures of Financial Risk (pages 19–52): Chapter 3 Estimating Market Risk Measures: An Introduction and Overview (pages 53–81): Chapter 4 Non?parametric Approaches (pages 83–125): Chapter 5 Forecasting Volatilities, Covariances and Correlations (pages 127–150): Chapter 6 Parametric Approaches (I) (pages 151–187): Chapter 7 Parametric Approaches (II): Extreme Value (pages 189–207): Chapter 8 Monte Carlo Simulation Methods (pages 209–226): Chapter 9 Applications of Stochastic Risk Measurement Methods (pages 227–248): Chapter 10 Estimating Options Risk Measures (pages 249–264): Chapter 11 Incremental and Component Risks (pages 265–277): Chapter 12 Mapping Positions to Risk Factors (pages 279–290): Chapter 13 Stress Testing (pages 291–307): Chapter 14 Estimating Liquidity Risks (pages 309–320): Chapter 15 Backtesting Market Risk Models (pages 321–349): Chapter 16 Model Risk (pages 351–363):