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Book/Article Detail


 
Reading Title:
Reading Author(s):
 
 
Book Title:
Book Author(s):
Chapter:
2
Page Range:
Total Pages:
34
 
 
Publisher:
Publication Year:
2005
Language:
English
 
 
 
 
FRM Paid Candidate Price:         US$6.00
Reading Price:
GARP Member (Non-Affiliate):   US$6.00
 
Affiliate & Non-Member:             US$7.00
 
* Order print copy for an additional US$2.38 + shipping & handling (select at checkout)
 
 
 
 
Quantitative Level:
Basic
 
 
Keywords:
 
 
Topics Covered:
Market risk, financial risk, mean-variance framework, efficient frontier, traditional dispersion risk measures, value at risk (VaR), VaR parameters, holding period, limitations of VaR, coherent risk measures, expected shortfall, spectral risk measures, scenario analysis, distortion risk measures, probability functions, mean, variance, skewness, kurtosis, regulatory uses of VaR
 
 
Reading Abstract:
*** 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 chronological order, but before discussing them in any detail, it is worth highlighting the themes underlying the ways in which these frameworks have evolved.
 
 
Reading Contents:
2.1 The mean–variance framework for measuring financial risk
2.2 Value at risk
2.3 Coherent risk measures
Appendix 1 Probability Functions
Appendix 2 Regulatory Uses of VaR
 
 
 
 
Book Review:
*** From the publisher ***

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. The accompanying CD-ROM includes a Measuring Market Risk toolbox, with about 150 risk measurement functions, a manual and a selection of Excel workbooks illustrating basic risk measurement functions.
 



 
   
GARP Digital Library