| Description |
xviii, 284 pages : illustrations ; 25 cm + 1 CD-ROM |
| Contents |
1. The Risk Measurement Revolution -- 2. Measures of Financial Risk -- 3. Basic Issues in Measuring Market Risk -- App. Mapping Positions to Risk Factors -- 4. Non-parametric VaR and ETL -- 5. Parametric VaR and ETL -- App. Delta-Gamma and Related Approximations -- 6. Simulation Approaches to VaR and ETL Estimation -- 7. Incremental and Component Risks -- 8. Estimating Liquidity Risks -- 9. Backtesting Market Risk Models -- 10. Stress Testing -- 11. Model Risk |
| Notes |
One CD-ROM in pocket attached to inside back cover |
| Bibliography |
Includes bibliographical references and index |
| Notes |
Also available online via the World Wide Web, by subscription to ECHO (Ebrary) |
| Subject |
Portfolio management.
|
|
Capital market.
|
|
Foreign exchange -- Management.
|
|
Risk management.
|
| Author |
ebrary, Inc.
|
| LC no. |
2002071357 |
| ISBN |
0470847484 paperback |
|
