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Dowd Kevin. An Introduction to Market Risk Measurement
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- size 1,42 MB
- added by vlkm
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Wiley, 2002. — 307 p.The Risk Measurement Revolution
Measures of Financial Risk
Basic Issues in Measuring Market Risk
Non-parametric VaR and ETL
Parametric VaR and ETL
Simulation Approaches to VaR and ETL Estimation
Incremental and Component Risks
Estimating Liquidity Risks
Backtesting Market Risk Models
Stress Testing
Model Risk
Measures of Financial Risk
Basic Issues in Measuring Market Risk
Non-parametric VaR and ETL
Parametric VaR and ETL
Simulation Approaches to VaR and ETL Estimation
Incremental and Component Risks
Estimating Liquidity Risks
Backtesting Market Risk Models
Stress Testing
Model Risk
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