Measuring Market Risk / Edition 2

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This is a thoroughly revised and updated edition of Measuring Market Risk, which was first published in 2002. The first three chapters provide an overview of the subject, and there is a particular emphasis on the new coherent risk measures. These are followed by chapters on non-parametric, parametric and Monte Carlo simulation approaches to the estimation of market risk measures, and then by chapters on various important market risk measurement topics.
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Editorial Reviews

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"…of value to professional risk managers and academics who are serious about wanting to keep up to date with developments in market risk measurement…" (Financial World, October 2002)
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Product Details

  • ISBN-13: 9780470013038
  • Publisher: Wiley
  • Publication date: 7/8/2005
  • Series: Wiley Finance Series , #323
  • Edition description: REV
  • Edition number: 2
  • Pages: 410
  • Product dimensions: 6.91 (w) x 9.92 (h) x 1.23 (d)

Table of Contents

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
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