商品簡介
Includes a CD-ROM that contains Excel workbooks and a Matlab manual and software.
Covers the subject without advanced or exotic material.
作者簡介
KEVIN DOWD is Professor of Financial Risk Management at Nottingham University Business School and a member of the School's Centre for Research in Risk and Insurance Studies.
目次
The Risk Measurement Revolution
Measures of Financial Risk
Basic Issues in Measuring Market Risk
Nonparametric VAR and ETL
Parametric VAR and ETL
Simulation Approaches to the Estimation of VAR and ETL
Incremental and Component Risks
Estimating Liquidity Risks
Backtesting Market Risk Models
Stress Testing
Model Risk
