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Record Nr. |
UNINA9910143700303321 |
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Autore |
Dowd Kevin |
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Titolo |
Measuring Market Risk [[electronic resource]] |
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Pubbl/distr/stampa |
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Chichester, : Wiley, 2007 |
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ISBN |
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1-118-67348-4 |
1-280-73872-3 |
9786610738724 |
0-470-01651-5 |
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Edizione |
[2nd ed.] |
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Descrizione fisica |
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1 online resource (412 p.) |
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Collana |
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Disciplina |
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Soggetti |
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Financial futures - Mathematical models |
Financial futures |
Mathematical models |
Portfolio management |
Portfolio management - Mathematical models |
Risk management |
Risk management - Mathematical models |
Investment & Speculation |
Finance |
Business & Economics |
Electronic books. |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Description based upon print version of record. |
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Nota di contenuto |
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Measuring Market Risk; Contents; Preface to the Second Edition; Acknowledgements; 1 The Rise of Value at Risk; 1.1 The Emergence of Financial Risk Management; 1.2 Market Risk Measurement; 1.3 Risk Measurement Before VaR; 1.3.1 Gap Analysis; 1.3.2 Duration Analysis; 1.3.3 Scenario Analysis; 1.3.4 Portfolio Theory; 1.3.5 Derivatives Risk Measures; 1.4 Value at Risk; 1.4.1 The Origin and Development of VaR; 1.4.2 Attractions of VaR; 1.4.3 Criticisms of VaR; Appendix: Types of Market Risk; 2 Measures of Financial Risk; 2.1 The Mean-Variance Framework for Measuring Financial Risk |
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2.2 Value at Risk2.2.1 Basics of VaR; 2.2.2 Determination of the VaR Parameters; 2.2.3 Limitations of VaR as a Risk Measure; 2.3 Coherent Risk Measures; 2.3.1 The Coherence Axioms and their implications; 2.3.2 The Expected Shortfall; 2.3.3 Spectral Risk Measures; 2.3.4 Scenarios as Coherent Risk Measures; 2.4 Conclusions; Appendix 1: Probability Functions; Appendix 2: Regulatory Uses of VaR; 3 Estimating Market Risk Measures: An Introduction and Overview; 3.1 Data; 3.1.1 Profit/Loss Data; 3.1.2 Loss/Profit Data; 3.1.3 Arithmetic Return Data; 3.1.4 Geometric Return Data |
3.2 Estimating Historical Simulation VaR3.3 Estimating Parametric VaR; 3.3.1 Estimating VaR with Normally Distributed Profits/Losses; 3.3.2 Estimating VaR with Normally Distributed Arithmetic Returns; 3.3.3 Estimating Lognormal VaR; 3.4 Estimating Coherent Risk Measures; 3.4.1 Estimating Expected Shortfall; 3.4.2 Estimating Coherent Risk Measures; 3.5 Estimating the Standard Errors of risk Measure Estimators; 3.5.1 Standard Errors of Quantile Estimators; 3.5.2 Standard Errors in Estimators of Coherent Risk Measures; 3.6 The Core Issues: An Overview; Appendix 1: Preliminary Data Analysis |
Appendix 2: Numerical Integration Methods4 Non-Parametric Approaches; 4.1 Compiling Historical Simulation Data; 4.2 Estimation of Historical Simulation VaR and ES; 4.2.1 Basic Historical Simulation; 4.2.2 Bootstrapped Historical Simulation; 4.2.3 Historical Simulation using Non-Parametric Density Estimation; 4.2.4 Estimating Curves and Surfaces for VAR and ES; 4.3 Estimating Confidence Intervals for Historical Simulation VaR and ES; 4.3.1 An Order-Statistics Approach to the Estimation of Confidence Intervals for HS VaR and ES |
4.3.2 A Bootstrap Approach to the Estimation of Confidence Intervals for HS VaR and ES4.4 Weighted Historical Simulation; 4.4.1 Age-Weighted Historical Simulation; 4.4.2 Volatility-Weighted Historical Simulation; 4.4.3 Correlation-Weighted Historical Simulation; 4.4.4 Filtered Historical Simulation; 4.5 Advantages and Disadvantages of Non-Parametric Methods; 4.5.1 Advantages; 4.5.2 Disadvantages; 4.6 Conclusions; Appendix 1: Estimating Risk Measures with Order Statistics; Appendix 2: The Bootstrap; Appendix 3: Non-Parametric Density Estimation |
Appendix 4: Principal Components Analysis and Factor Analysis |
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Sommario/riassunto |
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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. |
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2. |
Record Nr. |
UNINA9910816290203321 |
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Autore |
Flanagan Robert James |
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Titolo |
Fundamentals of analytical toxicology : clinical and forensic / / Robert J. Flanagan [and three others] |
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Pubbl/distr/stampa |
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Hoboken, New Jersey ; ; Chichester, West Sussex, England : , : Wiley, , 2020 |
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ISBN |
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1-119-12237-6 |
1-119-12236-8 |
1-119-12235-X |
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Edizione |
[Second edition.] |
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Descrizione fisica |
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1 online resource (650 pages) |
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Classificazione |
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Disciplina |
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Soggetti |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Sommario/riassunto |
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"Analytical toxicology is concerned with the detection, identification, and measurement of drugs and other foreign compounds (xenobiotics) and their metabolites, and in some cases endogenous compounds, in biological and related specimens. The analytical toxicologist can play a useful role in the diagnosis, management, and indeed the prevention of poisoning, but to do so a basic knowledge of clinical and forensic toxicology is essential. Moreover, the analyst must be able to communicate effectively with clinicians, pathologists, coroners, police, members of the legal profession, and a range of other people. In addition, a good understanding of analytical chemistry, clinical chemistry, pathology, clinical pharmacology, pharmacokinetics, and occupational and environmental health is essential"-- |
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