Measuring Market Risk

摘要: Preface to the Second EditionAcknowledgements1 The Rise of Value at Risk1.1 emergence financial risk management1.2 Market management1.3 Risk management before VaR1.4 riskAppendix 1: Types Risk2 Measures Financial Risk2.1 Mean-Variance framework for measuring risk2.2 risk2.3 Coherent measures2.4 ConclusionsAppendix Probability FunctionsAppendix 2: Regulatory Uses VaR3 Estimating Measures: An Introduction and Overview3.1 Data3.2 historical simulation VaR3.3 parametric VaR3.4 coherent measures3.5 standard errors measure estimators3.6 OverviewAppendix Preliminary Data AnalysisAppendix Numerical Integration Methods4 Non-parametric Approaches4.1 Compiling data4.2 Estimation VaR ES4.3 confidence intervals ES4.4 Weighted simulation4.5 Advantages disadvantages non-parametric methods4.6 with Order StatisticsAppendix BootstrapAppendix 3: Density EstimationAppendix 4: Principal Components Analysis Factor Analysis5 Forecasting Volatilities, Covariances Correlations5.1 volatilities5.2 covariances correlations5.3 covariance matricesAppendix Modelling Dependence: Correlations Copulas6 Parametric Approaches (I)6.1 Conditional vs unconditional distributions6.2 Normal ES6.3 t-distribution6.4 lognormal distribution6.5 Miscellaneous approaches6.6 multivariate normal variance-covariance approach6.7 Non-normal approaches6.8 Handling return distributions copulas6.9 longer-term Measures7 (II): Extreme Value7.1 Generalised extreme-value theory7.2 peaks-over-threshold approach: generalised pareto distribution7.3 Refinements EV approaches7.4 Conclusions8 Monte Carlo Simulation Methods8.1 monte carlo simulation8.2 a single factor8.3 multiple factors8.4 Variance-reduction methods8.5 simulation8.6 Conclusions9 Applications Stochastic Measurement Methods9.1 Selecting stochastic processes9.2 Dealing processes9.3 Dynamic risks9.4 Fixed-income risks9.5 Credit-related risks9.6 Insurance risks9.7 Measuring pensions risks9.8 Conclusions10 Options Measures10.1 Analytical algorithmic solutions m options VaR10.2 approaches10.3 Delta-gamma related approaches10.4 Conclusions11 Incremental Component Risks11.1 VaR11.2 VaR11.3 Decomposition measures12 Mapping Positions Factors12.1 core instruments12.2 positions estimation13 Stress Testing13.1 Benefits difficulties stress testing13.2 Scenario analysis13.3 Mechanical testing13.4 Conclusions14 Liquidity Risks14.1 liquidity risks14.2 liquidity-adjusted VaR14.3 (LaR)14.4 in crises15 Backtesting Models15.1 data issues15.2 Backtests based on frequency tests15.3 tests distribution equality15.4 Comparing alternative models15.5 data15.6 Assessing precision backtest results15.7 Summary conclusionsAppendix Testing Whether Two Distributions are Different16 Model Risk16.1 Models model risk16.2 Sources risk16.3 Quantifying risk16.4 Managing risk16.5 ConclusionsBibliographyAuthor IndexSubject Index