Measuring Market Risk (2nd Edition) By Kevin Dowd – Instant Download!
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.
From the Inside Flap
The second edition of Measuring Market Risk offers a comprehensive and up-to-date exploration of market risk measurement. Covering every key aspect of modern market risk practices, the book places special emphasis on recent advances, including coherent and spectral risk measures, applications of copulas, innovative uses of stochastic methods, and the latest developments in backtesting.
Topics include the evolution of Value at Risk (VaR) as a central risk metric; alternative financial risk measures (such as coherent and distortion risk measures); non-parametric techniques like bootstrapping, order statistics, non-parametric density estimation, principal components, and factor analysis; parametric methods including copulas and extreme-value theory; the theory and practical uses of stochastic approaches; forecasting volatilities and correlations; liquidity risk; option risk measurement; risk decomposition; mapping; stress testing; backtesting; and model risk.
Written in a clear, accessible style, Measuring Market Risk features numerous worked examples illustrating real-world market risk measurement challenges.
From the Back Cover
This second edition delivers an in-depth, state-of-the-art guide to market risk measurement. It comprehensively covers the latest thinking in the field, including coherent and spectral risk measures, copulas, new stochastic techniques, and enhanced backtesting procedures.
Inside, readers will find detailed discussions on:
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The rise of VaR as a primary risk measure
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Coherent and distortion risk metrics
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Non-parametric approaches such as bootstrap methods, order statistics, density estimation, and principal components/factor analysis
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Parametric approaches including copulas and extreme-value methods
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Stochastic modeling theory and its applications
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Forecasting volatilities and correlations
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Measuring liquidity and option risks
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Risk decomposition, mapping, stress testing, backtesting, and managing model risk
Combining clarity with practical insight, Measuring Market Risk includes a wealth of worked examples to help readers understand and apply advanced market risk measurement techniques.
