An Introduction to Market Risk Measurement

You are responsible for managing your company’s foreign exchange positions. Your boss, or your boss’s boss, has been reading about derivatives losses suffered by other companies, and wants to know if the same thing could happen to his company. That is, he wants to know just how much market risk the company is taking. What do you say? You could start by listing and describing the company’s…

An Introduction to Market Risk Measurement

Edition

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ISBN/ISSN

0-470-84748-4

Collation

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Series Title

An Introduction to Market Risk Measurement

Call Number

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enhancing the understanding of risk and insurance

This paper reviews a number of recent surveys relevant to risk management by UK insurers. These include the results of four surveys specifically on UK insurers. Our findings suggest that the risk management practices of UK insurers are variable, generally behind best practices in adjacent sectors, and in some cases are a cause of concern. However, we also find that they have been improving sign…

An Introduction to Market Risk Measurement

This book provides an introduction to VaR and ETL estimation, and is a more basic, student-oriented version of Measuring Market Risk, also published by John Wiley. The present book differs from Measuring Market Risk in cutting out some of the more difficult material—quasi-Monte Carlo methods, lattice methods, analytical and algorithmic approaches to options VaR, non-parametric density est…