Measuring Market Risk
This book offers an extensive
and up-to-date review of market risk measurement, focusing particularly on the estimation
of value at risk (VaR) and expected tail loss (ETL).
Measuring Market Risk
provides coverage of parametric and non-parametric risk estimation, simulation, numerical
methods, liquidity risks, risk decomposition and budgeting, backtesting, stress testing,
and model risk, as well as appendices on mapping delta-gamma approximations and options
VaR.
Divided into two parts, the
book also comes with a Toolkit containing 11 toolboxes dealing with technical issues often
used in market risk measurement, including quantile error estimation, order statistics,
principal components and factor analysis, non-parametric density estimation, fat-tailed
distributions, extreme-value theory, simulation methods, volatility and correlation
estimation, and copulas. The book is packaged with a CD containing a MATLAB folder of 150
risk measurement functions, with additional examples in Excel/VBA.
Measuring Market Risk is
designed for practitioners involved in risk measurement and management. It will also be of
use to MBA, MA and MSc programmes in finance, financial engineering, risk management and
related subjects in addition to academics and researchers working in this field.
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.
Lattice Approaches to VaR and
ETL Estimation.
Incremental and Component
Risks.
Estimating Liquidity Risks.
Backtesting Market Risk
Models.
Stress Testing.
Model Risk.
Toolkit.
Bibliography.
Auhor Index.
Subject Index.
366 pages