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[null,"1.","Record Nr.",null,"UNINA9910143700303321"]
[null,null,"Autore",null,"Dowd Kevin"]
[null,null,"Titolo",null,"Measuring Market Risk [[electronic resource]]"]
[null,null,"Pubbl/distr/stampa",null,"Chichester, : Wiley, 2007"]
[null,null,"ISBN",null,"1-118-67348-4"]
[{"$nulls":4},"1-280-73872-3"]
[{"$nulls":4},"9786610738724"]
[{"$nulls":4},"0-470-01651-5"]
[null,null,"Edizione",null,"[2nd ed.]"]
[null,null,"Descrizione fisica",null,"1 online resource (412 p.)"]
[null,null,"Collana",null,"The Wiley Finance Series"]
[null,null,"Disciplina",null,"332.632042"]
[null,null,"Soggetti",null,"Financial futures - Mathematical models"]
[{"$nulls":4},"Financial futures"]
[{"$nulls":4},"Mathematical models"]
[{"$nulls":4},"Portfolio management"]
[{"$nulls":4},"Portfolio management - Mathematical models"]
[{"$nulls":4},"Risk management"]
[{"$nulls":4},"Risk management - Mathematical models"]
[{"$nulls":4},"Investment & Speculation"]
[{"$nulls":4},"Finance"]
[{"$nulls":4},"Business & Economics"]
[{"$nulls":4},"Electronic books."]
[null,null,"Lingua di pubblicazione",null,"Inglese"]
[null,null,"Formato",null,"Materiale a stampa"]
[null,null,null,"Livello bibliografico","Monografia"]
[null,null,null,"Note generali","Description based upon print version of record."]
[null,null,"Nota di contenuto",null,"Measuring Market Risk; Contents; Preface to the Second Edition; Acknowledgements; 1 The Rise of Value at Risk; 1.1 The Emergence of Financial Risk Management; 1.2 Market Risk Measurement; 1.3 Risk Measurement Before VaR; 1.3.1 Gap Analysis; 1.3.2 Duration Analysis; 1.3.3 Scenario Analysis; 1.3.4 Portfolio Theory; 1.3.5 Derivatives Risk Measures; 1.4 Value at Risk; 1.4.1 The Origin and Development of VaR; 1.4.2 Attractions of VaR; 1.4.3 Criticisms of VaR; Appendix: Types of Market Risk; 2 Measures of Financial Risk; 2.1 The Mean-Variance Framework for Measuring Financial Risk"]
[{"$nulls":4},"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; "]
[{"$nulls":4},"2.3.2 The Expected Shortfall; 2.3.3 Spectral Risk Measures; 2.3.4 Scenarios as Coherent Risk Measures; 2.4 Conclusions; Appendix 1: Probability Functions; Appendix 2: Regulatory Uses of VaR; 3 Estimating Market Risk Measures: An Introduction and Overview; 3.1 Data; 3.1.1 Profit/Loss Data; 3.1.2 Loss/Profit Data; 3.1.3 Arithmetic Return Data; 3.1.4 Geometric Return Data"]
[{"$nulls":4},"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"]
[{"$nulls":4},"Appendix 2: Numerical Integration Methods4 Non-Parametric Approaches; 4.1 Compiling Historical Simulation Data; 4.2 Estimation of Historical Simulation VaR and ES; 4.2.1 Basic Historical Simulation; 4.2.2 Bootstrapped Historical Simulation; 4.2.3 Historical Simulation using Non-Parametric Density Estimation; 4.2.4 Estimating Curves and Surfaces for VAR and ES; 4.3 Estimating Confidence Intervals for Historical Simulation VaR and ES; 4.3.1 An Order-Statistics Approach to the Estimation of Confidence Intervals for HS VaR and ES"]
[{"$nulls":4},"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"]
[{"$nulls":4},"Appendix 4: Principal Components Analysis and Factor Analysis"]
[null,null,null,"Sommario/riassunto","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."]