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Mathematics and Statistics for Financial Risk Management

Mathematics and Statistics for Financial Risk Management Image

Book details:

Publisher:John Wiley & Sons
Category: Wiley
Posted:Mar 30 2017
Book format:PDF
Book size:4.49 MB

Book Description:

Mathematics and Statistics for Financial Risk Managementis a practical guide to modern financial risk management for both practitioners and academics. The recent financial crisis and its impact on the broader economy underscore the importance of financial risk management in todays world. At the same time, financial products and investment strategies are becoming increasingly complex. Today, it is more important than ever that risk managers possess a sound understanding of mathematics and statistics. In a concise and easytoread style, each chapter of this book introduces a different topic in mathematics or statistics. As different techniques are introduced, sample problems and application sections demonstrate how these techniques can be applied to actual risk management problems. Exercises at the end of each chapter and the accompanying solutions at the end of the book allow readers to practice the techniques they are learning and monitor their progress. A companion website includes interactive Excel spreadsheet examples and templates. This comprehensive resource covers basic statistical concepts from volatility and Bayes Law to regression analysis and hypothesis testing. Widely used risk models, including ValueatRisk, factor analysis, Monte Carlo simulations, and stress testing are also explored. A chapter on time series analysis introduces interest rate modeling, GARCH, and jumpdiffusion models. Bond pricing, portfolio credit risk, optimal hedging, and many other financial risk topics are covered as well. If youre looking for a book that will help you understand the mathematics and statistics of financial risk management, look no further.

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