Measuring Market Risk

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Measuring Market Risk

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Author : Kevin Dowd
language : en
Publisher: John Wiley & Sons
Release Date : 2007-01-11

Measuring Market Risk written by Kevin Dowd and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-01-11 with Business & Economics categories.

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.

Measuring Market Risk With Value At Risk

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Author : Pietro Penza
language : en
Publisher: John Wiley & Sons
Release Date : 2001

Measuring Market Risk With Value At Risk written by Pietro Penza and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Business & Economics categories.

"This book, Measuring Market Risk with Value at Risk by Vipul Bansal and Pietro Penza, has three advantages over earlier works on the subject. First, it takes a decidedly global approach-an essential ingredient for any comprehensive work on market risk. Second, it ties the scientifically grounded, yet intuitively appealing, VaR measure to earlier, more idiosyncratic measures of market risk that are used in specific market environs (e.g., duration in fixed income). Finally, it encompasses all of the accepted approaches to calculating a VaR measure and presents them in a clearly explained fashion with supporting illustrations and completely worked-out examples." -from the Foreword by John F. Marshall, PhD, Principal, Marshall, Tucker & Associates, LLC "Measuring Market Risk with Value at Risk offers a much-needed intellectual bridge, a translation from the esoteric realm of mathematical finance to the domain of financial managers who seek guidance in applying developments from this important field of research as well as that of MBA-level graduate instruction. I believe the authors have done a commendable job of providing a carefully crafted, highly readable, and most useful work, and intend to recommend it to all those involved in business risk management applications." -Anthony F. Herbst, PhD, Professor of Finance and C.R. and D.S. Carter Chair, The University of Texas, El Paso and Founding editor of The Journal of Financial Engineering (1991-1998) "Finally there's a book that strikes a balance between rigor and application in the area of risk management in the banking industry. This innovative book is a MUST for both novices and professionals alike." -Robert P. Yuyuenyongwatana, PhD, Associate Professor of Finance, Cameron University "Measuring Market Risk with Value at Risk is one of the most complete discussions of this emerging topic in finance that I have seen. The authors develop a logical and rigorous framework for using VaR models, providing both historical references and analytical applications." -Kevin Wynne, PhD, Associate Professor of Finance, Lubin School of Business, Pace University

An Introduction To Market Risk Measurement

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Author : Kevin Dowd
language : en
Publisher: John Wiley & Sons
Release Date : 2003-03-14

An Introduction To Market Risk Measurement written by Kevin Dowd and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-03-14 with Business & Economics categories.

Includes a CD-ROM that contains Excel workbooks and a Matlab manual and software. Covers the subject without advanced or exotic material.

Value At Risk 3rd Ed Part Vi The Risk Management Profession

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Author : Philippe Jorion
language : en
Publisher: McGraw Hill Professional
Release Date : 2006-10-19

Value At Risk 3rd Ed Part Vi The Risk Management Profession written by Philippe Jorion and has been published by McGraw Hill Professional this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-10-19 with Business & Economics categories.

This chapter comes from Value at Risk, the industry standard in risk management. Now in its Third Edition, this international bestseller addresses the fundamental changes in the field that have occurred across the globe in recent years. Philippe Jorion provides the most current information needed to understand and implement VAR-as well as manage newer dimensions of financial risk.

Statistical Methods For Measuring Market Risk Model Performance Comparison In View Of The Fundamental Review Of The Trading Book

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Author : Maximilian Dinse
language : en
Publisher:
Release Date : 2016

Statistical Methods For Measuring Market Risk Model Performance Comparison In View Of The Fundamental Review Of The Trading Book written by Maximilian Dinse and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.

During the last two decades, the general superiority of Expected Shortfall (ES) over Value-at-Risk (VaR) has been highlighted frequently. Nevertheless, VaR remained the fundamental regime for regulatory internal model approaches to market risk under Basel I, Basel II(.5) and Basel III for more than 15 years. Just recently, the Basel Committee on Banking Supervision finally announced to move to ES taking into account the experiences made during the financial crisis and the significant weaknesses of VaR. Their resistance can be attributed to the specific characteristic of ES as it cannot be easily backtested compared with VaR. While a lot of different backtesting methodologies have already been identified for VaR, less work has been done for ES. In 2011, it was even shown that ES does not fulfill the requirements of an elicitable risk measure, which was interpreted as the fundamental proof that ES could not be backtested. This thesis presents and evaluates three alternative backtesting approaches which could even be used for backtesting ES. The thesis finds clear evidence against the criticism of ES by showing that backtesting is generally possible and that concrete tests can be applied to evaluate market risk model performance. The results will also offer added-value to regulators as first thoughts will be provided on the question of how this test could be converted into a traffic light approach similar to what is currently in place for regulatory VaR backtesting.

Derivatives

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Author : Global Derivatives Study Group
language : en
Publisher:
Release Date : 1993

Derivatives written by Global Derivatives Study Group and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with Business & Economics categories.

Consists of introduction; appendix I working papers; appendix II legal enforceability; survey of nine jurisdictions; appendix III survey of industry practice; follow-up surveys of industry practice.

Measuring And Managing Derivative Market Risk

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Author : David Emrus Lawrence
language : en
Publisher:
Release Date : 1996

Measuring And Managing Derivative Market Risk written by David Emrus Lawrence and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Derivative securities categories.

Recent well-publicised losses on the derivatives markets have highlighted the need for a much closer understanding of the price risk involved, not just among the specialists but at all levels within financial institutions and end-user companies. This timely book sets out a clear, logical approach to the measurement of price risk positions using the techniques of factor sensitivity analysis and 'value at risk', illustrated with straightforward numerical examples. It will be an essential guide to a key area of risk management.

The Handbook Of Currency And Interest Rate Risk Management

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Author : Robert J. Schwartz
language : en
Publisher: Prentice Hall
Release Date : 1990

The Handbook Of Currency And Interest Rate Risk Management written by Robert J. Schwartz and has been published by Prentice Hall this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with Business & Economics categories.

Risk Analysis For Islamic Banks

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Author : Hennie van Greuning
language : en
Publisher: World Bank Publications
Release Date : 2008

Risk Analysis For Islamic Banks written by Hennie van Greuning and has been published by World Bank Publications this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Business & Economics categories.

Islamic finance is emerging as a rapidly growing part of the financial sector in the Islamic world and elsewhere. Currently, over 250 institutions in more than 45 countries practice Islamic finance and the industry growth rate is over 15% per annum.

Financial World

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Author :
language : en
Publisher:
Release Date : 2002

Financial World written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Banks and banking, International categories.