- Includes a CD-ROM that contains Excel workbooks and a Matlab manual and software.
- Covers the subject without advanced or exotic material.
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Editorial Reviews
From the Back Cover
This book provides an introduction to Value at Risk (VaR) and expected tail loss (ETL) estimation and is a student-oriented version of Measuring Market Risk (John Wiley & Sons 2002).
An Introduction to Market Risk Measurement includes coverage of:
- Parametric and non-parametric risk estimation
- Simulation
- Numerical Methods
- Liquidity Risks
- Risk Decomposition and Budgeting
- Backtesting
- Stress Testing
- Model Risk
About the Author
KEVIN DOWD is Professor of Financial Risk Management at Nottingham University Business School and a member of the School's Centre for Research in Risk and Insurance Studies.
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Most Helpful Customer Reviews
2.0 out of 5 stars
Not an introduction book,
By Paul (Canada) - See all my reviews
This review is from: An Introduction to Market Risk Measurement (The Wiley Finance Series) (Paperback)
I bought the book to gain background for my job as I work in the financial risk software industry. The book is not what I would call an introduction. Aside from being heavy on math, many terms and concepts are referenced but not explained.
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Inside This Book
(learn more)
First Sentence:
Financial risk is the prospect of financial loss-or gain-due to unforeseen changes in underlying risk factors. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
factor push analysis, backtest procedure, alternative confidence levels, market risk measurement, extreme confidence levels, maximum likely loss, market risk models, expected tail loss, tail losses, coherent risk measure, measuring market risk, risk measurement models, spot rate curve, arithmetic returns, geometric returns, ghost effects, chosen confidence level, age weighting, individual asset returns, using simulation methods, tail index, horizon period, tail observations, relative position size, risk practitioners Key Phrases - Capitalized Phrases (CAPs): (learn more)
Monte Carlo, Estimating Liquidity Risks, Mapping Positions, Technical Document, The Risk Measurement Revolution, Basle Accord, Orange County New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
Financial risk is the prospect of financial loss-or gain-due to unforeseen changes in underlying risk factors. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
factor push analysis, backtest procedure, alternative confidence levels, market risk measurement, extreme confidence levels, maximum likely loss, market risk models, expected tail loss, tail losses, coherent risk measure, measuring market risk, risk measurement models, spot rate curve, arithmetic returns, geometric returns, ghost effects, chosen confidence level, age weighting, individual asset returns, using simulation methods, tail index, horizon period, tail observations, relative position size, risk practitioners Key Phrases - Capitalized Phrases (CAPs): (learn more)
Monte Carlo, Estimating Liquidity Risks, Mapping Positions, Technical Document, The Risk Measurement Revolution, Basle Accord, Orange County New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
Citations (learn more)
This book cites 15
books:
See all 15 books this book cites
5
books
cite this book:
- Time Series and Statistics by John Eatwell in Back Matter (1), and Back Matter (2)
- Derivatives risk management service by G. Timothy Haight in Back Matter
- Stable Paretian Models in Finance (Financial Economics and Quantitative Analysis Series) by Svetlozar T. Rachev in Back Matter
- Black-Scholes and Beyond: Option Pricing Models by Neil A. Chriss in Back Matter
- Probabilistic Constrained Optimization: Methodology and Applications (Nonconvex Optimization and Its Applications (closed)) by S. Uryasev in Back Matter
See all 15 books this book cites
- Investment Mathematics by Andrew A. Adams in Front Matter
- Risk-adjusted Lending Conditions: An Option Pricing Approach (The Wiley Finance Series) by Werner Rosenberger in Front Matter
- Quantitative Finance for Physicists: An Introduction (Academic Press Advanced Finance) by Anatoly B. Schmidt in Back Matter
- Option Theory (The Wiley Finance Series) by Peter James in Front Matter
- Modern Actuarial Theory and Practice, Second Edition by Philip Booth on page 141
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