LEADER 05903nam 22009013u 450 001 9910143700303321 005 20210114040210.0 010 $a1-118-67348-4 010 $a1-280-73872-3 010 $a9786610738724 010 $a0-470-01651-5 035 $a(CKB)1000000000357414 035 $a(EBL)284436 035 $a(OCoLC)163818258 035 $a(SSID)ssj0000199981 035 $a(PQKBManifestationID)11168453 035 $a(PQKBTitleCode)TC0000199981 035 $a(PQKBWorkID)10208868 035 $a(PQKB)10750006 035 $a(MiAaPQ)EBC284436 035 $a(EXLCZ)991000000000357414 100 $a20130418d2007|||| u|| | 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aMeasuring Market Risk$b[electronic resource] 205 $a2nd ed. 210 $aChichester $cWiley$d2007 215 $a1 online resource (412 p.) 225 1 $aThe Wiley Finance Series 300 $aDescription based upon print version of record. 311 $a0-470-01303-6 327 $aMeasuring 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 327 $a2.2 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 327 $a3.2 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 327 $aAppendix 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 327 $a4.3.2 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 327 $aAppendix 4: Principal Components Analysis and Factor Analysis 330 $aFully revised and restructured, Measuring Market Risk, Second Edition includes a new chapter on options risk management, as well as substantial new information on parametric risk, non-parametric measurements and liquidity risks, more practical information to help with specific calculations, and new examples including Q&A's and case studies. 410 4$aThe Wiley Finance Series 606 $aFinancial futures - Mathematical models 606 $aFinancial futures 606 $aMathematical models 606 $aPortfolio management 606 $aPortfolio management - Mathematical models 606 $aRisk management 606 $aRisk management - Mathematical models 606 $aFinancial futures$xMathematical models 606 $aRisk management$xMathematical models 606 $aPortfolio management$xMathematical models 606 $aInvestment & Speculation$2HILCC 606 $aFinance$2HILCC 606 $aBusiness & Economics$2HILCC 608 $aElectronic books. 615 4$aFinancial futures - Mathematical models. 615 4$aFinancial futures. 615 4$aMathematical models. 615 4$aPortfolio management. 615 4$aPortfolio management - Mathematical models. 615 4$aRisk management. 615 4$aRisk management - Mathematical models. 615 0$aFinancial futures$xMathematical models 615 0$aRisk management$xMathematical models 615 0$aPortfolio management$xMathematical models 615 7$aInvestment & Speculation 615 7$aFinance 615 7$aBusiness & Economics 676 $a332.632042 700 $aDowd$b Kevin$0117350 801 0$bAU-PeEL 801 1$bAU-PeEL 801 2$bAU-PeEL 906 $aBOOK 912 $a9910143700303321 996 $aMeasuring Market Risk$92250794 997 $aUNINA LEADER 02619nam 2200421 450 001 9910787115303321 005 20230803040109.0 010 $a1-921870-89-3 035 $a(CKB)3710000000313130 035 $a(EBL)1887390 035 $a(MiAaPQ)EBC1887390 035 $a(Au-PeEL)EBL1887390 035 $a(OCoLC)898101077 035 $a(EXLCZ)993710000000313130 100 $a20220518h20132011 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt$2rdacontent 182 $cc$2rdamedia 183 $acr$2rdacarrier 200 10$aHer father's daughter /$fAlice Pung 210 1$aCollingwood, Victoria :$cBlack Inc.,$d2013. 210 4$dİ2011 215 $a1 online resource (292 p.) 300 $aDescription based upon print version of record. 311 $a1-86395-590-9 327 $aHER FATHER'S DAUGHTER; Contents; Dedication; Epigraph; PROLOGUE; Stay and defend; Far from home; PART I. CHINA; Beginnings; Ford; Foreign bodies; Companions in the glass; Haircut; Return; PART II. MELBOURNE; Her new home; Visitors; Away from home; Invisible; Agency; The surface of things; A plot of land; Arriving; Friends from afar; The wonder of whitegoods; State of emergency; The knife; Dogs and cats; Tiptoe; Smile like a sickle; The bus; PART III. CAMBODIA: YEAR ZERO; Saloth Sar; The factory; Menu using wartime rations; Year Zero: 17 April 1975; The car; Angkar; Burial 327 $aRevolutionary medicineFertiliser team; All you can eat; The belt; Cats and dogs; The secret life of the senses; Ice; After Zero: Saigon, 1979; Kien; PART IV. CAMBODIA; Dismemory; Arrival; Tread lightly; Brother; Safe; The field (i); The field (ii); EPILOGUE; Celebration; Kien; Mirrors; Waiting; Night-time at home; Acknowledgments 330 $aWinner of the Non-Fiction Prize at the 2011 Western Australian Book AwardsAt twenty-something, Alice is eager for the milestones of adulthood: leaving home, choosing a career, finding friendship and love on her own terms. But with each step she takes she feels the sharp tug of invisible threads: the love and worry of her parents, who want more than anything to keep her from harm. Her father fears for her safety to an extraordinary degree - but why?As she digs further into her father's story, Alice embarks on a journey of painful discovery: of memories lost and found, of her own fears for the f 676 $a305.895932094510922 700 $aPung$b Alice$01547080 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910787115303321 996 $aHer father's daughter$93829201 997 $aUNINA