Market Risk Management

Market Risk Management : A Practitioner's Guide with Excel and VBA

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Description

Market risk management is a new and rapidly evolving field that until now, has lacked a practical, quickly digestible reference on the theory that underpins its everyday practice. This book fills that gap, bringing together the very latest in the theory, practice, and policies of market risk management. It offers a concise, applied treatment that provides clear explanations, relevant examples, and a guide to further reading. Written for practitioners, the book emphasizes "how to" and includes numerous case studies, Excel worksheets, and VBA code. Up-to-date topics include coherent risk and expected shortfall, as well as how to integrate these methods into an energy risk management practice.show more

Product details

  • Hardback | 288 pages
  • 156 x 235mm
  • Taylor & Francis Ltd
  • Chapman & Hall/CRC
  • United States
  • English
  • 30 black & white illustrations
  • 1584884649
  • 9781584884644

Table of contents

Market Risk Management. Regulatory environment. Fundamental laws of market risk management. Traditional measures of market risk. Value at risk. Incremental and component risks. Liquidity risk. Risk mapping. Coherent risk measures. Setting risk limits. Sensitivity analysis. Stress testing. Hedging market risk. Developing a risk management policy.show more