Ebook: Simulation techniques in financial risk management
Author: Ngai Hang Chan Hoi-Ying Wong
- Genre: Business // Management
- Tags: Менеджмент, Риск-менеджмент
- Series: Statistics in practice
- Year: 2006
- Publisher: Wiley-Interscience
- City: Hoboken, N.J
- Language: English
- pdf
This unique resource provides simulation techniques for financial risk managers ensuring you become well versed in many recent innovations, including Gibbs sampling, the use of heavy-tailed distributions in VaR calculations, construction of volatility smile, and state space modeling. The authors illustrate key concepts with examples and case studies you can reproduce using either S-PLUS® or Visual Basic® and provide exercises so you can apply new concepts and test your knowledge.
Simulation Techniques in Financial Risk Management is invaluable both as a resource for risk managers in the financial and actuarial industries and as a coursebook for upper-level undergraduate and graduate courses in simulation and risk management.
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