Mathematics and Statistics for Financial Risk Management

Mathematics and Statistics for Financial Risk Management
by: Michael B. Miller (Author)
Publisher: Wiley
Edition: 1st
Publication Date: 2012/3/6
Language: English
Print Length: 304 pages
ISBN-10: 1118170628
ISBN-13: 9781118170625
Book Description
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 today's 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 easy-to-read 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. Covers basic statistical concepts from volatility and Bayes' Law to regression analysis and hypothesis testingIntroduces risk models, including Value-at-Risk, factor analysis, Monte Carlo simulations, and stress testingExplains time series analysis, including interest rate, GARCH, and jump-diffusion modelsExplores bond pricing, portfolio credit risk, optimal hedging, and many other financial risk topics If you're looking for a book that will help you understand the mathematics and statistics of financial risk management, look no further.
About the Author
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 today's 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 easy-to-read 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. Covers basic statistical concepts from volatility and Bayes' Law to regression analysis and hypothesis testingIntroduces risk models, including Value-at-Risk, factor analysis, Monte Carlo simulations, and stress testingExplains time series analysis, including interest rate, GARCH, and jump-diffusion modelsExplores bond pricing, portfolio credit risk, optimal hedging, and many other financial risk topics If you're looking for a book that will help you understand the mathematics and statistics of financial risk management, look no further. Read more