An introduction to market risk measurement
Kevin Dowd
Wiley
This book provides an introduction to Value at Risk (VaR) and expected tail loss (ETL) estimation and is a student-oriented version of <I>Measuring Market Risk</I> (John Wiley & Sons 2002).      <P><I>An Introduction to Market Risk Measurement</I> includes coverage of:      <UL><LI>Parametric and non-parametric risk estimation      <P><LI>Simulation      <P><LI>Numerical Methods      <P><LI>Liquidity Risks      <P><LI>Risk Decomposition and Budgeting      <P><LI>Backtesting      <P><LI>Stress Testing      <P><LI>Model Risk      </UL>Divided into two parts, part one discusses the various risk measurement techniques, whilst part two provides a toolkit of the main tools required to understand market risk measurement. A CD is packaged with the book, containing a MATLAB folder of risk measurement functions, in addition to some examples in Excel/VBA.