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Measuring Market Risk, 2nd Edition book download

Measuring Market Risk, 2nd Edition. Kevin Dowd

Measuring Market Risk, 2nd Edition

ISBN: 0470013036,9780470016510 | 410 pages | 11 Mb

Download Measuring Market Risk, 2nd Edition

Measuring Market Risk, 2nd Edition Kevin Dowd

The main object of the study is to measure the financial risk of EXIM Bank Ltd. Their component VaRs are negative). On the left, the sum of the standalone VaRs ( ) exceeds portfolio VaR ( ) on the right by an amount (the " diversification as a natural hedge, since they contribute negatively to portfolio VaR (i.e. [1] Kevin Dowd, Measuring Market Risk, 2nd ed., West Sussex, England: Wiley, 2005 pp. The trading book is required under Basel II and III to be marked to market daily. 3 Different procedure manual published by EXIM Bank Ltd. € Measure the liquidity risk. The value-at-risk for assets in the trading book is measured on a ten-day time horizont under Basel II. The specific objective of the study are listed below- • Measure the credit risk. In term of Value at Risk (VaR), portfolio VaR is smaller than the sum of its constituent VaRs because VaR is a subadditive risk measure: . 1.4 Scope of the report: As I was sent to the EXIM 2 Various book articles regarding general banking functions, Foreign exchange operations and credit policies.