An Introduction to Market Risk Measurement

This book provides an introduction to Value at Risk (VaR) and expected tail loss (ETL) estimation and is a student-oriented version of Measuring Market Risk (John Wiley & Sons 2002).

An Introduction to Market Risk Measurement includes coverage of: *Parametric and non-parametric risk estimation

*Simulation

*Numerical Methods

*Liquidity Risks

*Risk Decomposition and Budgeting

*Backtesting

*Stress Testing

*Model Risk 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.