عنوان

Measuring market risk /

شابک

0470016515

شابک

0470855215

شابک

1118673484

شابک

9780470016510

شابک

9780470855218

شابک

9781118673485

شابک اشتباه

0470013036

شابک اشتباه

9780470013038

شابک اشتباه

9780470855218

شماره

b706466

عنوان اصلي

Measuring market risk /

نام عام مواد

[Book]

نام نخستين پديدآور

Kevin Dowd.

وضعيت ويراست

2nd ed.

محل نشرو پخش و غیره

Hoboken, NJ :

نام ناشر، پخش کننده و غيره

John Wiley & Sons,

تاریخ نشرو بخش و غیره

©2005.

نام خاص و کميت اثر

1 online resource (xviii, 390 pages) :

ساير جزييات

illustrations

متن يادداشت

Includes bibliographical references (pages 365-377) and index.

متن يادداشت

Cover -- TOContents -- Preface to the Second Edition -- Acknowledgements -- CH The Rise of Value at Risk -- 1.1 The Emergence of Financial Risk Management -- 1.2 Market Risk Measurement -- 1.3 Risk Measurement Before VaR. 1.3.1 Gap Analysis -- 1.3.2 Duration Analysis -- 1.3.3 Scenario Analysis -- 1.3.4 Portfolio Theory -- 1.3.5 Derivatives Risk Measures -- 1.4 Value at Risk -- 1.4.1 The Origin and Development of VaR. 1.4.2 Attractions of VaR. 1.4.3 Criticisms of VaR. Appendix -- CH Measures of Financial Risk -- 2.1 The Mean-Variance Framework for Measuring Financial Risk -- 2.2 Value at Risk -- 2.2.1 Basics of VaR. 2.2.2 Determination of the VaR Parameters -- 2.2.3 Limitations of VaR as a Risk Measure -- 2.3 Coherent Risk Measures -- 2.3.1 The Coherence Axioms and their implications -- 2.3.2 The Expected Shortfall -- 2.3.3 Spectral Risk Measures -- 2.3.4 Scenarios as Coherent Risk Measures -- 2.4 Conclusions -- Appendix 1. Appendix 2. CH Estimating Market Risk Measures -- 3.1 Data -- 3.1.1 Profit/Loss Data -- 3.1.2 Loss/Profit Data -- 3.1.3 Arithmetic Return Data -- 3.1.4 Geometric Return Data -- 3.2 Estimating Historical Simulation VaR. 3.3 Estimating Parametric VaR. 3.3.1 Estimating VaR with Normally Distributed Profits/Losses -- 3.3.2 Estimating VaR with Normally Distributed Arithmetic Returns -- 3.3.3 Estimating Lognormal VaR. 3.4 Estimating Coherent Risk Measures -- 3.4.1 Estimating Expected Shortfall -- 3.4.2 Estimating Coherent Risk Measures -- 3.5 Estimating the Standard Errors of risk Measure Estimators -- 3.5.1 Standard Errors of Quantile Estimators -- 3.5.2 Standard Errors in Estimators of Coherent Risk Measures -- 3.6 The Core Issues -- Appendix 1. Appendix 2. CH.

متن يادداشت

Non-Parametric Approaches -- 4.1 Compiling Historical Simulation Data -- 4.2 Estimation of Historical Simulation VaR and ES. 4.2.1 Basic Historical Simulation -- 4.2.2 Bootstrapped Historical Simulation -- 4.2.3 Historical Simulation using Non-Parametric Density Estimation -- 4.2.4 Estimating Curves and Surfaces for VAR and ES. 4.3 Estimating Confidence Intervals for Historical Simulation VaR and ES. 4.3.1 An Order-Statistics Approach to the Estimation of Confidence Intervals for HS VaR and ES. 4.3.2 A Bootstrap Approach to the Estimation of Confidence Intervals for HS VaR and ES. 4.4 Weighted Historical Simulation -- 4.4.1 Age-Weighted Historical Simulation -- 4.4.2 Volatility-Weighted Historical Simulation -- 4.4.3 Correlation-Weighted Historical Simulation -- 4.4.4 Filtered Historical Simulation -- 4.5 Advantages and Disadvantages of Non-Parametric Methods -- 4.5.1 Advantages -- 4.5.2 Disadvantages -- 4.6 Conclusions -- Appendix 1. Appendix 2. Appendix 3. Appendix 4. CH Forecasting Volatilities, Covariances and Correlations -- 5.1 Forecasting Volatilities -- 5.1.1 Defining Volatility -- 5.1.2 Historical Volatility Forecasts -- 5.1.3 Exponentially Weighted Moving Average Volatility -- 5.1.4 GARCH Models -- 5.1.5 Implied Volatilities -- 5.2 Forecasting Covariances and Correlations -- 5.

بدون عنوان

0

بدون عنوان

0

متن يادداشت

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.

منبع سفارش / آدرس اشتراک

eBook Library

شماره انبار

EBL284436

عنوان

Measuring market risk.

شماره استاندارد بين المللي کتاب و موسيقي

9780470013038

موضوع مستند نشده

Financial futures-- Mathematical models.

موضوع مستند نشده

Portfolio management-- Mathematical models.

موضوع مستند نشده

Risk management-- Mathematical models.

موضوع مستند نشده

Gestion de portefeuille.

موضوع مستند نشده

Gestion du risque.

موضوع مستند نشده

Marchés à terme d'instruments financiers.

موضوع مستند نشده

BUSINESS & ECONOMICS-- Investments & Securities-- General.

موضوع مستند نشده

Business & Economics.

موضوع مستند نشده

Finance.

موضوع مستند نشده

Financial futures-- Mathematical models.

موضوع مستند نشده

Investment & Speculation.

موضوع مستند نشده

Portfolio management-- Mathematical models.

موضوع مستند نشده

Risk management-- Mathematical models.

موضوع مستند نشده

BUS-- 036000

شماره

ويراست

شماره رده

نشانه اثر

مستند نام اشخاص تاييد نشده

Dowd, Kevin.

تاريخ عمليات

20201207214207.0

قواعد فهرست نويسي ( بخش توصيفي )

pn

نام الکترونيکي

نوع ماده

[Book]

تكميل شده

Y