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Informationen zum Autor Kevin Dowd is Professor of Financial Risk Management at Nottingham University. Kevin is an Adjunct Scholar at the Cato Institute in Washington, D.C., and a Fellow of the Pensions Institute at Birkbeck College. Klappentext The second edition of Measuring Market Risk provides an extensive treatment of the state of the art in market risk measurement. The book covers all aspects of modern market risk measurement, and in doing so emphasises new developments in the subject such as coherent and spectral risk measures, the uses of copulas, new applications of stochastic methods, and new developments in backtesting.The topics covered include: the rise of VaR as a risk measure; different measures of financial risk (including coherent and distortion risk measures); non-parametric approaches (including the bootstrap, order statistics, non-parametric density estimation, and principal components and factor analysis); parametric approaches (including copulas and extreme-value approaches); the theory and applications of stochastic methods; the forecasting of volatilities and correlations; liquidity risk; options risk measurement; risk decomposition; mapping; stress-testing; backtesting; and model risk.Measuring Market Risk is written in a clear and accessible style, and includes many worked examples of market risk measurement problems. Zusammenfassung 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 Inhaltsverzeichnis Preface to the Second Edition xiii Acknowledgements xix 1 The Rise of Value at Risk 1 1.1 The emergence of financial risk management 2 1.2 Market risk measurement 4 1.3 Risk measurement before VaR 5 1.3.1 Gap analysis 5 1.3.2 Duration analysis 5 1.3.3 Scenario analysis 6 1.3.4 Portfolio theory 7 1.3.5 Derivatives risk measures 8 1.4 Value at risk 9 1.4.1 The origin and development of VaR 9 1.4.2 Attractions of VaR 11 1.4.3 Criticisms of VaR 13 Appendix: Types of Market Risk 15 2 Measures of Financial Risk 19 2.1 The mean-variance framework for measuring financial risk 20 2.2 Value at risk 27 2.2.1 Basics of VaR 27 2.2.2 Determination of the VaR parameters 29 2.2.3 Limitations of VaR as a risk measure 31 2.3 Coherent risk measures 32 2.3.1 The coherence axioms and their implications 32 2.3.2 The expected shortfall 35 2.3.3 Spectral risk measures 37 2.3.4 Scenarios as coherent risk measures 42 2.4 Conclusions 44 Appendix 1: Probability Functions 45 Appendix 2: Regulatory Uses of VaR 52 3 Estimating Market Risk Measures: An Introduction and Overview 53 3.1 Data 53 3.1.1 Profit/loss data 53 3.1.2 Loss/profit data 54 3.1.3 Arithmetic return data 54 3.1.4 Geometric return data 54 3.2 Estimating historical simulation VaR 56 3.3 Estimating parametric VaR 57 3.3.1 Estimating VaR with normally distributed profits/losses 57 3.3.2 Estimating VaR with normally distributed arithmetic returns 59 3.3.3 Estimating lognormal VaR 61 3.4 Estimating coherent risk measures 64 3.4.1 Estimating expected shortfall 64 3.4.2 Estimating coherent risk measures 64 3.5 Estimating the standard errors of risk measure estimators 69 3.5.1 Standard errors of quantile estimators 69 3.5.2 Standard errors in estimators of coherent risk measures 72 3.6 The core issues: an overview 73 Appendix 1: Preliminary Data Analysis 75 Appendix 2: Numerical Integration Methods ...
