Work

An introduction to market risk measurement

Year: 2002

Type: article

Abstract: Preface.Acknowledgements.The Risk Measurement Revolution. Measures of Financial Risk. Basic Issues in Measuring Market Risk. Non parametric VaR and ETL. Parametric VaR and ETL. Simulation Approaches to VaR and ETL Estimation. Incremental and Component Risks. Estimating Liquidity Risks. Backtesting Market Risk Models. Stress Testing. Model Risk.Toolkit.Bibliography.Author Index.Subject Index.Software Index.

Author: Kevin Dowd

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W573673492

FWCI: 3.832

Cites: 73

Cited by: 138

Related to: 10