An Introduction to Market Risk Measurement

Description

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



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