# Measuring Market Risk with Value at Risk

# An Introduction to Market Risk Measurement

*Covers the subject without advanced or exotic material. This book provides an introduction to Value at Risk (VaR) and expected tail loss (ETL) estimation and is a student-oriented version of Measuring Market Risk (John Wiley & Sons 2002).*

**Author**: Kevin Dowd

**Publisher:** John Wiley & Sons

**ISBN:** 0470855207

**Page:** 304

**View:** 795

# The Fundamentals of Risk Measurement

*This is one of the keys to integrated risk measurement and is a critical component in measuring risk-adjusted profitability and setting prices to customers. A typical balance sheet is used to illustrate how transfer pricing works in detail.*

**Author**: Christopher Marrison

**Publisher:** McGraw Hill Professional

**ISBN:** 9780071386272

**Page:** 415

**View:** 188

# Risk

# Measuring and Managing Derivative Market Risk

*This timely book sets out a clear, logical approach to the measurement of price risk positions using the techniques of factor sensitivity analysis and 'value at risk', illustrated with straightforward numerical examples.*

**Author**: David Emrus Lawrence

**Publisher:** Thomson Learning

**ISBN:** 9781861520067

**Page:** 216

**View:** 857

# An Introduction to Derivatives and Risk Management

*Recommendation 4 : Identifying Revenue Sources Dealers should measure the
components of revenue regularly and in sufficient detail to understand the
sources of risk . Recommendation 5 : *

**Measuring Market Risk**Dealers should use ...

**Author**: Don M. Chance

**Publisher:** South-Western Pub

**ISBN:**

**Page:** 653

**View:** 685

# Credit Risk Measurement

# Organizational Control Systems and the Engineer

# Market Risk and Publicly Available Data

# Value at Risk 3rd Ed Part VI The Risk Management Profession

*16. and liabilities. Marking to market should be implemented regardless of the
accounting method used. 5. to calculate daily the market risk of their position,
which is best measured with a VAR approach. Once a method of risk
measurement is ...*

**Author**: Philippe Jorion

**Publisher:** McGraw Hill Professional

**ISBN:** 0071731636

**Page:** 41

**View:** 645