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An Introduction to Market Risk Measurement
Kevin Dowd

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

Divided into two parts, part one discusses the various risk measurement techniques, whilst part two provides a toolkit of the main tools required to understand market risk measurement. A CD is packaged with the book, containing a MATLAB folder of risk measurement functions, in addition to some examples in Excel/VBA.

Table of Contents:

Preface.

Acknowledgements.

The Risk Measurement Revolution.

Measures of Financial Risk.

Basic Issues in Measuring Market Risk.

Non-parametric VaR and ETL.

Parametric VaR and ETL.

Simulation Approaches to VaR and ETL Estimation.

Incremental and Component Risks.

Estimating Liquidity Risks.

Backtesting Market Risk Models.

Stress Testing.

Model Risk.

Toolkit.

Bibliography.

Author Index.

Subject Index.

Software Index

284+CD