Measuring Market Risk
by Kevin Dowd
This book provides an overview of the state of the art in VaR and ETL estimation. Given the size and rate of growth of this literature, it is impossible to cover the field comprehensively, and no book in this area can credibly claim to do so, even one like this that focuses on risk measurement and does not really try to grapple with the much broader field of market risk management. Within the sub-field of market risk measurement, the coverage of the literature provided here—with a little under 400 references—is fairly extensive, but can only provide, at best, a rather subjective view of the main highlights of the literature.