Simulation Techniques in Financial Risk Management Statistics in Practice

Description

by Ngai Hang Chan, Hoi-Ying Wong"Simulation Techniques in Financial Risk Management (Statistics in Practice) "
Publisher:Wiley-Interscience | Pages: 240 | 2006-04-12 | ISBN: 0471469874 | PDF | 7 MB
Book Description:
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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