An Introduction to Market Risk Measurement

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Kartonierter Einband

Beschreibung

Klappentext * Includes a CD-ROM that contains Excel workbooks and a Matlab manual and software.* Covers the subject without advanced or exotic material. Zusammenfassung * Includes a CD-ROM that contains Excel workbooks and a Matlab manual and software.* Covers the subject without advanced or exotic material. Inhaltsverzeichnis The Risk Measurement RevolutionMeasures of Financial RiskBasic Issues in Measuring Market RiskNonparametric VAR and ETLParametric VAR and ETLSimulation Approaches to the Estimation of VAR and ETLIncremental and Component RisksEstimating Liquidity RisksBacktesting Market Risk ModelsStress TestingModel Risk

Inhalt
The Risk Measurement Revolution Measures of Financial Risk Basic Issues in Measuring Market Risk Nonparametric VAR and ETL Parametric VAR and ETL Simulation Approaches to the Estimation of VAR and ETL Incremental and Component Risks Estimating Liquidity Risks Backtesting Market Risk Models Stress Testing Model Risk

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Produktinformationen

Titel
An Introduction to Market Risk Measurement
Autor
EAN
9780470847480
ISBN
978-0-470-84748-0
Format
Kartonierter Einband
Herausgeber
John Wiley & Sons Inc
Genre
Betriebswirtschaft
Anzahl Seiten
304
Gewicht
578g
Größe
H244mm x B189mm x T17mm
Jahr
2002
Untertitel
Englisch
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