UID:
almafu_9959327242902883
Format:
1 online resource (xviii, 390 pages) :
,
illustrations
Edition:
2nd ed.
ISBN:
0470016515
,
9780470016510
,
9781118673485
,
1118673484
,
0470855215
,
9780470855218
Content:
Fully revised and restructured, Measuring Market Risk, Second Edition includes a new chapter on options risk management, as well as substantial new information on parametric risk, non-parametric measurements and liquidity risks, more practical information to help with specific calculations, and new examples including Q&A's and case studies.
Note:
Cover -- TOContents -- Preface to the Second Edition -- Acknowledgements -- CH The Rise of Value at Risk -- 1.1 The Emergence of Financial Risk Management -- 1.2 Market Risk Measurement -- 1.3 Risk Measurement Before VaR. 1.3.1 Gap Analysis -- 1.3.2 Duration Analysis -- 1.3.3 Scenario Analysis -- 1.3.4 Portfolio Theory -- 1.3.5 Derivatives Risk Measures -- 1.4 Value at Risk -- 1.4.1 The Origin and Development of VaR. 1.4.2 Attractions of VaR. 1.4.3 Criticisms of VaR. Appendix -- CH Measures of Financial Risk -- 2.1 The Mean-Variance Framework for Measuring Financial Risk -- 2.2 Value at Risk -- 2.2.1 Basics of VaR. 2.2.2 Determination of the VaR Parameters -- 2.2.3 Limitations of VaR as a Risk Measure -- 2.3 Coherent Risk Measures -- 2.3.1 The Coherence Axioms and their implications -- 2.3.2 The Expected Shortfall -- 2.3.3 Spectral Risk Measures -- 2.3.4 Scenarios as Coherent Risk Measures -- 2.4 Conclusions -- Appendix 1. Appendix 2. CH Estimating Market Risk Measures -- 3.1 Data -- 3.1.1 Profit/Loss Data -- 3.1.2 Loss/Profit Data -- 3.1.3 Arithmetic Return Data -- 3.1.4 Geometric Return Data -- 3.2 Estimating Historical Simulation VaR. 3.3 Estimating Parametric VaR. 3.3.1 Estimating VaR with Normally Distributed Profits/Losses -- 3.3.2 Estimating VaR with Normally Distributed Arithmetic Returns -- 3.3.3 Estimating Lognormal VaR. 3.4 Estimating Coherent Risk Measures -- 3.4.1 Estimating Expected Shortfall -- 3.4.2 Estimating Coherent Risk Measures -- 3.5 Estimating the Standard Errors of risk Measure Estimators -- 3.5.1 Standard Errors of Quantile Estimators -- 3.5.2 Standard Errors in Estimators of Coherent Risk Measures -- 3.6 The Core Issues -- Appendix 1. Appendix 2. CH.
,
Non-Parametric Approaches -- 4.1 Compiling Historical Simulation Data -- 4.2 Estimation of Historical Simulation VaR and ES. 4.2.1 Basic Historical Simulation -- 4.2.2 Bootstrapped Historical Simulation -- 4.2.3 Historical Simulation using Non-Parametric Density Estimation -- 4.2.4 Estimating Curves and Surfaces for VAR and ES. 4.3 Estimating Confidence Intervals for Historical Simulation VaR and ES. 4.3.1 An Order-Statistics Approach to the Estimation of Confidence Intervals for HS VaR and ES. 4.3.2 A Bootstrap Approach to the Estimation of Confidence Intervals for HS VaR and ES. 4.4 Weighted Historical Simulation -- 4.4.1 Age-Weighted Historical Simulation -- 4.4.2 Volatility-Weighted Historical Simulation -- 4.4.3 Correlation-Weighted Historical Simulation -- 4.4.4 Filtered Historical Simulation -- 4.5 Advantages and Disadvantages of Non-Parametric Methods -- 4.5.1 Advantages -- 4.5.2 Disadvantages -- 4.6 Conclusions -- Appendix 1. Appendix 2. Appendix 3. Appendix 4. CH Forecasting Volatilities, Covariances and Correlations -- 5.1 Forecasting Volatilities -- 5.1.1 Defining Volatility -- 5.1.2 Historical Volatility Forecasts -- 5.1.3 Exponentially Weighted Moving Average Volatility -- 5.1.4 GARCH Models -- 5.1.5 Implied Volatilities -- 5.2 Forecasting Covariances and Correlations -- 5.
Additional Edition:
Print version: Dowd, Kevin. Measuring market risk. Chichester, England ; Hoboken, NJ : John Wiley & Sons, ©2005 ISBN 9780470013038
Language:
English
Keywords:
Electronic books.
;
Electronic books.
;
Electronic books.
DOI:
10.1002/9781118673485
URL:
https://onlinelibrary.wiley.com/doi/book/10.1002/9781118673485
URL:
https://onlinelibrary.wiley.com/doi/book/10.1002/9781118673485
URL:
https://onlinelibrary.wiley.com/doi/book/10.1002/9781118673485
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