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Dowd K. Measuring Market Risk

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Dowd K. Measuring Market Risk
Wiley, 2005. — 412 p. — 2nd ed. — ISBN: 0470013036, 9780470013038
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.
Contents:
Preface to the Second Edition
Acknowledgements
The Rise of Value at Risk
Measures of Financial Risk
Estimating Market Risk Measures: An Introduction and Overview
Non-parametric Approaches
Forecasting Volatilities, Covariances and Correlations
Parametric Approaches (I)
Parametric Approaches (II): Extreme Value
Monte Carlo Simulation Methods
Applications of Stochastic Risk Measurement Methods
Estimating Options Risk Measures
Incremental and Component Risks
Mapping Positions to Risk Factors
Stress Testing
Estimating Liquidity Risks
Backtesting Market Risk Models
Model Risk
Bibliography
Author Index
Subject Index
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