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Measuring and Managing Derivative Market Risk by David Lawrence (1996, Hardcover)

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About this product

Product Identifiers

PublisherCengage Learning

ISBN-101861520069

ISBN-139781861520067

eBay Product ID (ePID)977306

Product Key Features

Number of Pages208 Pages

Publication NameMeasuring and Managing Derivative Market Risk

LanguageEnglish

SubjectInvestments & Securities / Derivatives, Investments & Securities / Portfolio Management

Publication Year1996

FeaturesNew Edition

TypeTextbook

AuthorDavid Lawrence

Subject AreaBusiness & Economics

FormatHardcover

Dimensions

Item Height0.9 in

Item Weight15.9 Oz

Item Length9.5 in

Item Width6.4 in

Additional Product Features

Intended AudienceScholarly & Professional

LCCN96-038892

Dewey Edition20

IllustratedYes

Dewey Decimal332.64/5

Edition DescriptionNew Edition

Table Of Content1. Introduction 2. Market Valuation 3. Simple Factor Sensitivity Analysis 4. Complex Valuation Models 5. Complex Factor Sensitivity Analysis 6. Statistical Functions 7. Controlling Market Risk 8. Non-Linear Market Risk 9. Stress Testing 10. Capital Requirements

SynopsisRecent well-publicised losses on the derivatives markets have highlighted the need for a much closer understanding of the price risk involved, not just among the specialists but at all levels within financial institutions and end-user companies. 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. It will be an essential guide to a key area of risk management.

LC Classification NumberHG6024.A3L327 1996