title: Financial Market Risk: Measurement and Analysis (Routledge International Studies in Money and Banking)
author: Cornelis A. Los
description: This book covers the latest theories and empirical findings of financial risk, its measurement and management, and its applications in the world of finance. Various ways for managing different types of risk - such as uncertainty, randomness, irregularity and probability - are initially measured. This book should prove to be invaluable to all students studying financial economics at an advanced level.
zlib_text: Net Interest Margin (NIM)
  Measure of bank performance: (interest income – 
  interest expense) / bank assets that earn income
  Interest-Sensitive (IS) Gap
  Meaure of interest rate risk: interest-sensitive assets 
  – interest-sensitive liabilities
  Duration Gap
  Measure of the market (price) risk on assets 
  relative to the market (price) risk on liabilities. 
  The leverage-adjusted duration gap measures the 
  effect of interest rate changes on the balance sheet:
  D
  D
  total liabilites
  total assets
  A
  L
  −
  ×
  Illiquid Asset Return Biases
  Biases that impact reported illiquid asset returns:
  • Survivorship bias: Poor performing funds often quit 
  reporting results, ultimately fail, or never begin 
  reporting returns because performance is weak.
  • Selection bias: Asset values and returns tend to be 
  reported when they are high.
  • Infrequent trading: Betas, volatilities, and 
  correlations are too low when they are computed 
  using the reported returns of infrequently traded 
  assets.
  where:
  R A  = average acco