Simulation techniques in financial risk management

✍ Scribed by Ngai Hang Chan, Hoi-Ying Wong

• Book ID: 127461068
• Publisher: Wiley-Interscience
• Year: 2006
• Tongue: English
• Weight: 9 MB
• Series: Statistics in practice
• Edition: 1
• Category: Library
• City: Hoboken, N.J
• ISBN-13: 9780471469872

✦ Synopsis

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.

✦ Subjects

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