An Introduction to Market Risk Measurement
Written for students in finance, this book provides an introduction to value at risk (VaR) and expected tail loss (ETL). The book is a student-oriented version of Measuring Market Risk (ISBN 0-471-52174-4). Topics covered include parametric and nonparametric risk estimation, simulation, numerical methods, liquidity risks, stress testing, and model risk. MATLAB and the Statistics and Machine Learning Toolbox are used to solve numerous application examples throughout the book.
About This Book
John Wiley & Sons, Inc., 2002
Online Teaching with MATLAB and Simulink
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