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An introduction to market risk measurement · Study

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ArticleAn introduction to market risk measurement

Kevin Dowd2002

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Articlegreen2002

An introduction to market risk measurement

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Financial Risk and Volatility Modeling Risk Management in Financial Firms Risk and Portfolio Optimization

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.

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References

1986Generalized autoregressive conditional heteroskedasticity 2000Optimization of conditional value-at-risk 2016“Options, Futures, and Other Derivatives”1996A test for independence based on the correlation dimension 2001Valuing American Options by Simulation: A Simple Least-Squares Approach 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 1995Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 2002On the coherence of expected shortfall

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Year2002

Typearticle

Published2002-01-01

Languageen

Citations138

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ShelfFinancial Risk and Volatility Modeling

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