GARP Digital Library

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Book/Article Detail


 
Reading Title:
Reading Author(s):
 
 
Book Title:
Book Author(s):
Chapter:
3
Page Range:
Total Pages:
29
 
 
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$2.03 + shipping & handling (select at checkout)
 
 
 
 
Quantitative Level:
Intermediate
 
 
Keywords:
 
 
Topics Covered:
Data, Estimating historical simulation VaR, Estimating Parametric VaR, Estimating coherent risk measures, Estimating the standard errors of risk measure estimators, The core issues: an overview
 
 
Reading Abstract:
*** 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 VaRs, and how VaR estimation depends on assumptions about dta distributions . How to estimate coherent risk measures. .How to gauge the precision of our risk measure estimators by estimating their standard errors. .Overview: An overview of the different approaches to market risk mesaurment, and of how they fit together.
 
 
Reading Contents:
1 Data
2 Estimating historical simulation VaR
3 Estimating Parametric VaR
4 Estimating coherent risk measures
5 Estimating the standard errors of risk measure estimators
6 The core issues: an overview
 
 
 
 
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&As 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