市场风险评估MEASURIN***ARKET RISK 2E +CD mobi 下载 网盘 caj lrf pdf txt 阿里云

Fully revised and restructured, Measuring Market Risk, Second Edition includes a new chapter on opti*** risk management, as well as substantial new information on parametric risk, non-parametric measurements and liquidity risks, more practical information to help with specific calculati***, and new examples including Q&A’s and case studies. The accompanying CD-ROM includes a Measuring Market Risk toolbox, with about 150 risk measurement functi***, a manual and a selection of Excel workbooks illustrating basic risk measurement functi***.

作者简介:KEVIN DOWD is Professor of Risk Management at Nottingham University Business School, where he works in the Centre for Risk and Insurance Studies. He is also Director of Research for Black Swan Risk Advisors, based in Berkeley, CA. Professor Dowd did his PhD in macroeconomics,and has written extensively on financial and monetary

economics,

most

particularly

onfinancial regulation and free banking and, more recently, on financial risk management. He is a regular

columnist

for

'Financial

EngineeringNews'.

Preface to the Second Edition

Acknowledgements

1 The Rise of Value at Risk

1.1 The emergence of financial risk management

1.2 Market risk management

1.3 Risk management before VaR

1.4 Value at risk

Appendix 1: Types of Market Risk

2 Measures of Financial Risk

2.1 The Mean–Variance framework for measuring financial risk

2.2 Value at risk

2.3 Coherent risk measures

2.4 Conclusi***

Appendix 1: Probability Functi***

Appendix 2: Regulatory Uses of VaR

3 Estimating Market Risk Measures: An Introduction and Overview

3.1 Data

3.2 Estimating historical simulation VaR

3.3 Estimating parametric VaR

3.4 Estimating coherent risk measures

3.5 Estimating the standard errors of risk measure estimators

3.6 Overview

Appendix 1: Preliminary Data Analysis

Appendix 2: Numerical Integration Methods

4 Non-parametric Approaches

4.1 Compiling historical simulation data

4.2 Estimation of historical simulation VaR and ES

4.3 Estimating confidence intervals for historical simulation VaR and ES

4.4 Weighted historical simulation

4.5 Advantages and disadvantages of non-parametric methods

4.6 Conclusi***

Appendix 1: Estimating Risk Measures with Order Statistics

Appendix 2: The Bootstrap

Appendix 3: Non-parametric Density Estimation

Appendix 4: Principal Components Analysis and Factor Analysis

5 Forecasting Volatilities, Covariances and Correlati***

5.1 Forecasting volatilities

5.2 Forecasting covariances and correlati***

5.3 Forecasting covariance matrices

Appendix 1: Modelling Dependence: Correlati*** and Copulas

6 Parametric Approaches (I)

6.1 Conditional vs unconditional distributi***

6.2 Normal VaR and ES

6.3 The t-distribution

*** The lognormal distribution

6.5 Miscellaneous parametric approaches

6.6 The multivariate normal variance–covariance approach

6.7 Non-normal variance–covariance approaches

6.8 Handling multivariate return distributi*** with copulas

6.9 Conclusi***

Appendix 1: Forecasting longer-term Risk Measures

7 Parametric Approaches (II): Extreme Value

7.1 Generalised extreme-value theory

7.2 The peaks-over-threshold approach: the generalised pareto distribution

7.3 Refinements to EV approaches

7.4 Conclusi***

8 Monte Carlo Simulation Methods

9 Applicati*** of Stochastic Risk Measurement Methods

10 Estimating Opti*** Risk Measures

11 Incremental and Component Risks

12 Mapping Positi*** to Risk Factors

14 Estimating Liquidity Risks

15 Backtesting Market Risk Models

16 Model Risk

Bibliography

Author Index

Subject Index

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书籍介绍

Fully revised and restructured, Measuring Market Risk, Second Edition includes anew chapter on opti*** risk management, as well as substantial new information on parametric risk, non-parametric measurements and liquidity risks, more practical information to help with specific calculati***, and new examples including Q&A’s and case studies.