Measuring Market Risk

Measuring Market Risk PDF
Author: Kevin Dowd
Publisher: John Wiley & Sons
ISBN: 0470016515
Size: 35.47 MB
Format: PDF, ePub
Category : Business & Economics
Languages : en
Pages : 410
View: 7355

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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’s and case studies.

Measuring Market Risk With Value At Risk

Measuring Market Risk with Value at Risk PDF
Author: Pietro Penza
Publisher: John Wiley & Sons
ISBN: 9780471393139
Size: 47.45 MB
Format: PDF, Docs
Category : Business & Economics
Languages : en
Pages : 302
View: 4037

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"This book, Measuring Market Risk with Value at Risk by Vipul Bansal and Pietro Penza, has three advantages over earlier works on the subject. First, it takes a decidedly global approach-an essential ingredient for any comprehensive work on market risk. Second, it ties the scientifically grounded, yet intuitively appealing, VaR measure to earlier, more idiosyncratic measures of market risk that are used in specific market environs (e.g., duration in fixed income). Finally, it encompasses all of the accepted approaches to calculating a VaR measure and presents them in a clearly explained fashion with supporting illustrations and completely worked-out examples." -from the Foreword by John F. Marshall, PhD, Principal, Marshall, Tucker & Associates, LLC "Measuring Market Risk with Value at Risk offers a much-needed intellectual bridge, a translation from the esoteric realm of mathematical finance to the domain of financial managers who seek guidance in applying developments from this important field of research as well as that of MBA-level graduate instruction. I believe the authors have done a commendable job of providing a carefully crafted, highly readable, and most useful work, and intend to recommend it to all those involved in business risk management applications." -Anthony F. Herbst, PhD, Professor of Finance and C.R. and D.S. Carter Chair, The University of Texas, El Paso and Founding editor of The Journal of Financial Engineering (1991-1998) "Finally there's a book that strikes a balance between rigor and application in the area of risk management in the banking industry. This innovative book is a MUST for both novices and professionals alike." -Robert P. Yuyuenyongwatana, PhD, Associate Professor of Finance, Cameron University "Measuring Market Risk with Value at Risk is one of the most complete discussions of this emerging topic in finance that I have seen. The authors develop a logical and rigorous framework for using VaR models, providing both historical references and analytical applications." -Kevin Wynne, PhD, Associate Professor of Finance, Lubin School of Business, Pace University

An Introduction To Market Risk Measurement

An Introduction to Market Risk Measurement PDF
Author: Kevin Dowd
Publisher: John Wiley & Sons
ISBN: 0470855207
Size: 72.64 MB
Format: PDF, Mobi
Category : Business & Economics
Languages : en
Pages : 304
View: 3874

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Includes a CD-ROM that contains Excel workbooks and a Matlab manual and software. Covers the subject without advanced or exotic material.

Financial Institutions And Markets

Financial Institutions and Markets PDF
Author: Jeff Madura
Publisher: Cengage Learning EMEA
ISBN: 9780324655612
Size: 79.69 MB
Format: PDF, ePub
Category : Business & Economics
Languages : en
Pages : 742
View: 2606

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Today, many financial institutions offer all types of financial services, such as banking, mutual funds, securities services, and insurance services. Although financial institutions overlap in the services they offer, the services that can be offered are distinctly different. The discussion of financial services in FINANCIAL INSTITUTIONS & MARKETS, International Edition, is organized by this type of service. Each type of financial market is described, focusing on the securities that are trade in that market and the participation by financial institutions. Pedagogical features, such as chapter summaries, learning objectives, and internet exercises, give you the tools you need to comprehend financial markets and institutions.

Investment Philosophies

Investment Philosophies PDF
Author: Aswath Damodaran
Publisher: John Wiley & Sons
ISBN: 9780471345039
Size: 60.20 MB
Format: PDF, ePub, Docs
Category : Business & Economics
Languages : en
Pages : 504
View: 6069

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Since the inception of the financial markets, investors have been bombarded with sales pitches from experts claiming to have found the secret formula or the magic model that guarantees investment success. In one corner, you have seasoned veterans telling you to buy businesses with solid cash flows and liquid assets because that's what worked for Warren Buffett. In another, you have financial professionals advising that in the new world of technology, you have to bet on companies with solid growth prospects. And still others recommend passive index investment as the way to outperform most active investors, or nontraditional investment strategies that have worked for a select group of successful hedge funds. The only thing this barrage of claims and counterclaims has created is investor confusion. To successfully implement any investment strategy, you must first adopt an investment philosophy that is consistent at its core and which matches not only the markets you choose to invest in, but your personal preferences (risk tolerance, time horizons, etc.). In Investment Philosophies: Successful Strategies and the Investors Who Made Them Work, Aswath Damodaran will help you do this by going beyond the simple explanations of traditional and alternative investment strategies, to discuss the individual underlying philosophies that support these techniques. Investment Philosophies explores many of the time-tested investment philosophies that investors have used over the years-from value investing and growth investing to technical analysis and market timing-and discusses some of the investors who made these philosophies work. This unique book will expose you to a wide range of investment philosophies to give you a sense of what drives investors in each philosophy, how they attempt to put these philosophies into practice, and what determines ultimate success. Damodaran offers an unbiased forum for the presentation of different investment philosophies, while supplying you with the tools-the definition and measurement of risk, the notion of market efficiency and how to test for inefficiencies, the components and determinants of trading costs-and the empirical evidence to make your own judgments on the investment philosophy that fits your specific investment goals and views of how markets work. Filled with valuable insights, useful formulas, and comprehensive charts, this book provides you with the tools to pick an investment philosophy that is right for you. With Investment Philosophies as your guide you can be more confident in the way you or your fund managers invest.

Measuring Integrated Market And Credit Risks In Bank Portfolios

Measuring Integrated Market and Credit Risks in Bank Portfolios PDF
Author: Panagiotis Papapanagiotou
Publisher: International Monetary Fund
ISBN: 1451919476
Size: 56.39 MB
Format: PDF, Docs
Category : Business & Economics
Languages : en
Pages : 50
View: 502

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The banking crises of the 1990s emphasize the need to model the connections between volatility and the potential losses faced by financial institutions due to correlated market and credit risks. We present a simulation model that explicitly links changes in the financial environment and the distribution of future bank capital ratios. This forward-looking quantitative risk assessment methodology allows banks and regulators to identify risks before they materialize and make appropriate adjustments to banks’ portfolios. This model was applied to the study of the risk profile of the largest South African banks in the context of the Financial System Stability Assessment (FSSA) (1999).

Risk Management

Risk Management PDF
Author: Michael Frenkel
Publisher: Springer Science & Business Media
ISBN: 9783540226826
Size: 22.58 MB
Format: PDF, ePub
Category : Business & Economics
Languages : en
Pages : 838
View: 251

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Dealing with all aspects of risk management that have undergone significant innovation in recent years, this book aims at being a reference work in its field. Different to other books on the topic, it addresses the challenges and opportunities facing the different risk management types in banks, insurance companies, and the corporate sector. Due to the rising volatility in the financial markets as well as political and operational risks affecting the business sector in general, capital adequacy rules are equally important for non-financial companies. For the banking sector, the book emphasizes the modifications implied by the Basel II proposal. The volume has been written for academics as well as practitioners, in particular finance specialists. It is unique in bringing together such a wide array of experts and correspondingly offers a complete coverage of recent developments in risk management.

Security Market Risk A Study On Its Relationship With Accounting Information

Security Market Risk  A Study On Its Relationship With Accounting Information PDF
Author: Arindam Gupta
Publisher: Mittal Publications
ISBN: 9788170999041
Size: 46.73 MB
Format: PDF, ePub
Category : Risk management
Languages : en
Pages : 212
View: 6729

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This Book Contains The Author`S Research Work Spanning Over Five Years During The Most Turbulent Period In The 1990S Studying 150 Indian Companies Listed In The Mumbai Stock Exchange.

Financial Markets And Institutions

Financial Markets and Institutions PDF
Author: Jakob de Haan
Publisher: Cambridge University Press
ISBN: 110702594X
Size: 42.40 MB
Format: PDF, Docs
Category : Business & Economics
Languages : en
Pages : 467
View: 3422

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Expanded version of the authors' European financial markets and institutions, 2009.