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Measuring Market Risk, 2nd Edition book download

Measuring Market Risk, 2nd Edition. Kevin Dowd

Measuring Market Risk, 2nd Edition


Measuring.Market.Risk.2nd.Edition.pdf
ISBN: 0470013036,9780470016510 | 410 pages | 11 Mb


Download Measuring Market Risk, 2nd Edition



Measuring Market Risk, 2nd Edition Kevin Dowd
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This second edition features additional emphasis on the discussion of Ito calculus and Girsanovs Theorem, and the risk-neutral measure and equivalent martingale pricing approach. Focusing on methods and models for identifying, measuring, monitoring, and controlling risks, it provides practical advice backed up by solid theories, without resorting to the use of complicated mathematical and statistical formulas. To the point that, if you want to be all “don't look at one number to measure risk, you jerks,” VaR is the one number you tell the jerks not to look at. The book examines all dimensions of the risks that banks face—both the financial risks—credit, market, and operational—and the non-financial risks—money laundering, information technology, business strategy, legal, and reputational. Risk Management and Capital Adequacy. Basel III is attempting to set down an approach for measuring Funding Liquidity Risk and we need to accept the difference between these two (Liquidity Risk as apposed to Funding Liquidity Risk) is subtle but quite impacting. It didn't help that much here, . A wide range of financial derivatives commonly traded in the equity and fixed income markets are analysed, emphasising aspects of pricing, hedging and practical usage. In the Second Edition of Financial Risk Management + Website, market risk expert Steve Allen offers an insider's view of this discipline and covers the strategies, principles, and measurement techniques necessary to manage and measure financial risk. If you think On slide 15 we propose that the measurement of this exposure class is going to require the integration of Counterparty Risk (on the trading book), Credit Risk (on the banking book), Market risk and the core ALM reporting system. A new chapter on credit risk models and pricing of credit derivatives has been added. Chapter 10 – VaR Methods; Chapter 11 – VaR Mapping; Chapter 14 – Stress Testing. Book Description A top risk management practitioner addresses the essential aspects of modern financial risk management. New York: John Wiley & Sons, Inc., 2005. Value at Risk: The New Benchmark for Managing Financial Risk, 3rd ed.