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Books/Articles BY

 
Measuring Market Risk, 2nd Edition

 
 
 


Chapter 2

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Reading Author(s):
Book Title:
Book Author(s):
Chapter:
2
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Reading Price:
GARP Member (Non-Affiliate):   US$6.00
 
Affiliate & Non-Member:            US$$7.00

Summary:

*** Excerpt from book *** This chapter examines three such measurement frameworks, the first based on the mean– variance or portfolio-theory approach, the second based on VaR, and the third based on the newer coherent risk measures mentioned at the end of the last chapter. We will discuss these in their ... click here for more details.






Chapter 3

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Reading Author(s):
Book Title:
Book Author(s):
Chapter:
3
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Reading Price:
GARP Member (Non-Affiliate):   US$6.00
 
Affiliate & Non-Member:            US$$7.00

Summary:

*** Excerpt from the book *** This chapter provides a brief introduction and overview of the main issues in market risk measurement. Our main concern are: . Preliminary data issues: How to deal with data in profit/loss form, rate-of return form and so on .Basic methods of VaR estimation: How to estimate simple ... click here for more details.






Chapter 4

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Reading Author(s):
Book Title:
Book Author(s):
Chapter:
4
Publisher:
Reading Price:
GARP Member (Non-Affiliate):   US$6.00
 
Affiliate & Non-Member:            US$$7.00

Summary:

*** Excerpt from the book ***This chapter looks at some of the most popular approaches to the estimation of risk measures- the non-parametric approaches, which seek to estimate risk measures without making strong assumptions about the relevant (e.g., P/L) distribution. The essence of these appraches is that we try ... click here for more details.






Chapter 5

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Chapter:
5
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Reading Price:
GARP Member (Non-Affiliate):   US$6.00
 
Affiliate & Non-Member:            US$$7.00

Summary:

*** Excerpt from book *** This chapter deals with the forecasting of volatilities, covariances and correlations.1 This is one of the most important subjects in modern risk measurement, and is central to equity and derivatives pricing, hedging and portfolio management. It also provides a very important input to parametric (and sometimes ... click here for more details.






Chapter 7

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Book Author(s):
Chapter:
7
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Reading Price:
GARP Member (Non-Affiliate):   US$6.00
 
Affiliate & Non-Member:            US$$7.00

Summary:

*** Excerpt from book *** This chapter provides an overview of EV theory, and of how it can be used to estimate measures of financial risk. As with earlier chapters, we will focus mainly on the VaR (and to a lesser extent, the ES) to keep the discussion brief, but the ... click here for more details.






Chapter 14

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Book Author(s):
Chapter:
14
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Reading Price:
GARP Member (Non-Affiliate):   US$6.00
 
Affiliate & Non-Member:            US$$7.00

Summary:

*** Excerpt from book *** This chapter looks at liquidity issues and how they affect the estimation of market risk measures. Liquidity issues affect market risk measurement not just through their impact on our standard measures of market risk, but also because effective market risk management involves an ability to estimate ... click here for more details.






Chapter 16

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Reading Author(s):
Book Title:
Book Author(s):
Chapter:
16
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Reading Price:
GARP Member (Non-Affiliate):   US$6.00
 
Affiliate & Non-Member:            US$$7.00

Summary:

Financial models by definition are simplified representations of the complex realities of financial markets, and so at a minimum the use of any model introduces risk that its representation of reality is flawed or too incomplete. This chapter considers the use of models and the associated model risks. ... click here for more details.




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