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Miller, Michael B.

Mathematics and Statistics for Financial Risk Management

Miller, Michael B. - Mathematics and Statistics for Financial Risk Management, e-bok


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ISBN: 9781118239766

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Mathematics and Statistics for Financial Risk Management is 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.


This comprehensive resource covers basic statistical concepts from volatility and Bayes' Law to regression analysis and hypothesis testing.  Widely used risk models, including Value-at-Risk, factor analysis, Monte Carlo simulations, and stress testing are also explored. A chapter on time series analysis introduces interest rate modeling, GARCH, and jump-diffusion models. Bond pricing, portfolio credit risk, optimal hedging, and many other financial risk topics are covered as well.

If you're looking for a book that will help you understand the mathematics and statistics of financial risk management, look no further.

Nyckelord: General Finance & Investments, Michael B. Miller, Michael Miller, Mike Miller, mathematics and statistics for financial risk management, financial risk management, statistical finance, statistical finance in risk management, risk management, risk management mathematics, risk models, applying risk models, developing risk models, popular risk models, popular risk models used by practitioners, practitioner oriented, mixture models, decay factors, risk professionals, financial engineers, corporate risk managers, financial risk managers, financial risk manager, financial risk manager exam, FRM, FRM exam, probability, Bayes? Law, Bayes? Theorem, Bayes rule, expected value, skewness, kurtosis, distributions, Monte Carlo, Monte Carlo simulation, Cholesky decomposition, Cholesky, Principal Component Analysis, PCA, regression, linear regression, optimal hedging, hedging, random walks, drift diffusion, GARCH, jump diffusion, interest rate models, value at risk, VaR, decay factors, EWMA, Excel examples, spreadsheet examples, Excel, quant, quantitative, quantitative techniques

John Wiley and Sons, Inc.
Wiley Finance
336 sidor
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