Risk measurement and management is the most important issue in finance today. This book examines the concepts underlying the main tools and techniques used by financial institutions to quantify their risk exposure. Quantifying risk exposure is not only a management tool, but a regulatory requirement for banks and investment houses.
About the Author
Kevin Dowd is Professor and Head of Economics at the University of Sheffield, England, and is an Adjunct Scholar at the Cato Institute, Washington DC. Prior to this he was Professor of Financial Economics at Sheffield Hallam University and Reader in Monetary Economics at the University of Nottingham. His previous works include Competition and Finance: A Reinterpretation of Financial and Monetary Economics (1996), and Laissez-Faire Banking (1993). He also edited The Experience of Free Banking (1992).
Table of ContentsINTRODUCTION TO VAR.
The Risk Management Revolution.
DIFFERENT APPROACHES TO MEASURING VAR.
The Variance-Covariance Approach.
The Historical Simulation Approach.
Monte Carlo Simulation and Related Approaches.
Risk-Adjusting Returns and Evaluating Performance.
Liquidity, Operational and Legal Risks.
Firm-Wide Risk Management.
Glossary of Main Terms.