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Mathematics and Statistics for Financial Risk Management

Mathematics and Statistics for Financial Risk Management

Author: Michael B. Miller
Publisher: John Wiley & Sons
ISBN: 1118239768
Pages: 336
Year: 2012-01-25

Mathematics and Statistics for Financial Risk Management

Mathematics and Statistics for Financial Risk Management

Author: Michael B. Miller
Publisher: John Wiley & Sons
ISBN: 1118757645
Pages: 336
Year: 2013-12-12
Mathematics and Statistics for Financial Risk Management is a practical guide to modern financial risk management for both practitioners and academics. Now in its second edition with more topics, more sample problems and more real world examples, this popular guide to financial risk management introduces readers to practical quantitative techniques for analyzing and managing financial risk. In a concise and easy-to-read style, each chapter 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 Web site includes interactive Excel spreadsheet examples and templates. Mathematics and Statistics for Financial Risk Management is an indispensable reference for today’s financial risk professional.
Mathematics and Statistics for Financial Risk Management

Mathematics and Statistics for Financial Risk Management

Author: Michael B. Miller
Publisher: John Wiley & Sons
ISBN: 1118750292
Pages: 336
Year: 2013-12-31
Mathematics and Statistics for Financial Risk Management is a practical guide to modern financial risk management for both practitioners and academics. Now in its second edition with more topics, more sample problems and more real world examples, this popular guide to financial risk management introduces readers to practical quantitative techniques for analyzing and managing financial risk. In a concise and easy-to-read style, each chapter 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 Web site includes interactive Excel spreadsheet examples and templates. Mathematics and Statistics for Financial Risk Management is an indispensable reference for today’s financial risk professional.
Mathematics and Statistics for Financial Risk Management

Mathematics and Statistics for Financial Risk Management

Author: Michael B. Miller
Publisher: John Wiley & Sons
ISBN: 1118757556
Pages: 336
Year: 2013-12-12
Mathematics and Statistics for Financial Risk Management is a practical guide to modern financial risk management for both practitioners and academics. Now in its second edition with more topics, more sample problems and more real world examples, this popular guide to financial risk management introduces readers to practical quantitative techniques for analyzing and managing financial risk. In a concise and easy-to-read style, each chapter 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 Web site includes interactive Excel spreadsheet examples and templates. Mathematics and Statistics for Financial Risk Management is an indispensable reference for today’s financial risk professional.
Essential Mathematics for Market Risk Management

Essential Mathematics for Market Risk Management

Author: Simon Hubbert
Publisher: John Wiley & Sons
ISBN: 1119953022
Pages: 416
Year: 2011-12-12
Everything you need to know in order to manage risk effectively within your organization You cannot afford to ignore the explosion in mathematical finance in your quest to remain competitive. This exciting branch of mathematics has very direct practical implications: when a new model is tested and implemented it can have an immediate impact on the financial environment. With risk management top of the agenda for many organizations, this book is essential reading for getting to grips with the mathematical story behind the subject of financial risk management. It will take you on a journey—from the early ideas of risk quantification up to today's sophisticated models and approaches to business risk management. To help you investigate the most up-to-date, pioneering developments in modern risk management, the book presents statistical theories and shows you how to put statistical tools into action to investigate areas such as the design of mathematical models for financial volatility or calculating the value at risk for an investment portfolio. Respected academic author Simon Hubbert is the youngest director of a financial engineering program in the U.K. He brings his industry experience to his practical approach to risk analysis Captures the essential mathematical tools needed to explore many common risk management problems Website with model simulations and source code enables you to put models of risk management into practice Plunges into the world of high-risk finance and examines the crucial relationship between the risk and the potential reward of holding a portfolio of risky financial assets This book is your one-stop-shop for effective risk management.
Risk and Financial Management

Risk and Financial Management

Author: Charles S. Tapiero
Publisher: John Wiley & Sons
ISBN: 0470849088
Pages: 341
Year: 2004-04-23
Financial risk management has become a popular practice amongstfinancial institutions to protect against the adverse effects ofuncertainty caused by fluctuations in interest rates, exchangerates, commodity prices, and equity prices. New financialinstruments and mathematical techniques are continuously developedand introduced in financial practice. These techniques are beingused by an increasing number of firms, traders and financial riskmanagers across various industries. Risk and FinancialManagement: Mathematical and Computational Methods confrontsthe many issues and controversies, and explains the fundamentalconcepts that underpin financial risk management. Provides a comprehensive introduction to the core topics ofrisk and financial management. Adopts a pragmatic approach, focused on computational, ratherthan just theoretical, methods. Bridges the gap between theory and practice in financial riskmanagement Includes coverage of utility theory, probability, options andderivatives, stochastic volatility and value at risk. Suitable for students of risk, mathematical finance, andfinancial risk management, and finance practitioners. Includes extensive reference lists, applications andsuggestions for further reading. Risk and Financial Management: Mathematical and ComputationalMethods is ideally suited to both students of mathematicalfinance with little background in economics and finance, andstudents of financial risk management, as well as financepractitioners requiring a clearer understanding of the mathematicaland computational methods they use every day. It combines therequired level of rigor, to support the theoretical developments,with a practical flavour through many examples andapplications.
Mathematical Methods for Finance

Mathematical Methods for Finance

Author: Sergio M. Focardi, Frank J. Fabozzi, Turan G. Bali
Publisher: John Wiley & Sons
ISBN: 1118421493
Pages: 320
Year: 2013-09-04
The mathematical and statistical tools needed in the rapidly growing quantitative finance field With the rapid growth in quantitative finance, practitioners must achieve a high level of proficiency in math and statistics. Mathematical Methods and Statistical Tools for Finance, part of the Frank J. Fabozzi Series, has been created with this in mind. Designed to provide the tools needed to apply finance theory to real world financial markets, this book offers a wealth of insights and guidance in practical applications. It contains applications that are broader in scope from what is covered in a typical book on mathematical techniques. Most books focus almost exclusively on derivatives pricing, the applications in this book cover not only derivatives and asset pricing but also risk management—including credit risk management—and portfolio management. Includes an overview of the essential math and statistical skills required to succeed in quantitative finance Offers the basic mathematical concepts that apply to the field of quantitative finance, from sets and distances to functions and variables The book also includes information on calculus, matrix algebra, differential equations, stochastic integrals, and much more Written by Sergio Focardi, one of the world's leading authors in high-level finance Drawing on the author's perspectives as a practitioner and academic, each chapter of this book offers a solid foundation in the mathematical tools and techniques need to succeed in today's dynamic world of finance.
Simulation Techniques in Financial Risk Management

Simulation Techniques in Financial Risk Management

Author: Ngai Hang Chan, Hoi Ying Wong
Publisher: John Wiley & Sons
ISBN: 1118735935
Pages: 232
Year: 2015-04-13
Praise for the First Edition “…a nice, self-contained introduction to simulation and computational techniques in finance…” – Mathematical Reviews Simulation Techniques in Financial Risk Management, Second Edition takes a unique approach to the field of simulations by focusing on techniques necessary in the fields of finance and risk management. Thoroughly updated, the new edition expands on several key topics in these areas and presents many of the recent innovations in simulations and risk management, such as advanced option pricing models beyond the Black–Scholes paradigm, interest rate models, MCMC methods including stochastic volatility models simulations, model assets and model-free properties, jump diffusion, and state space modeling. The Second Edition also features: Updates to primary software used throughout the book, Microsoft Office® Excel® VBA New topical coverage on multiple assets, model-free properties, and related models More than 300 exercises at the end of each chapter, with select answers in the appendix, to help readers apply new concepts and test their understanding Extensive use of examples to illustrate how to use simulation techniques in risk management Practical case studies, such as the pricing of exotic options; simulations of Greeks in hedging; and the use of Bayesian ideas to assess the impact of jumps, so readers can reproduce the results of the studies A related website with additional solutions to problems within the book as well as Excel VBA and S-Plus computer code for many of the examples within the book Simulation Techniques in Financial Risk Management, Second Edition is an invaluable resource for risk managers in the financial and actuarial industries as well as a useful reference for readers interested in learning how to better gauge risk and make more informed decisions. The book is also ideal for upper-undergraduate and graduate-level courses in simulation and risk management.
Financial Risk Management

Financial Risk Management

Author: Steve L. Allen
Publisher: John Wiley & Sons
ISBN: 1118226526
Pages: 608
Year: 2012-12-19
A top risk management practitioner addresses the essential aspects of modern financial risk management In the Second Edition of Financial Risk Management + Website, market risk expert Steve Allen offers an insider's view of this discipline and covers the strategies, principles, and measurement techniques necessary to manage and measure financial risk. Fully revised to reflect today's dynamic environment and the lessons to be learned from the 2008 global financial crisis, this reliable resource provides a comprehensive overview of the entire field of risk management. Allen explores real-world issues such as proper mark-to-market valuation of trading positions and determination of needed reserves against valuation uncertainty, the structuring of limits to control risk taking, and a review of mathematical models and how they can contribute to risk control. Along the way, he shares valuable lessons that will help to develop an intuitive feel for market risk measurement and reporting. Presents key insights on how risks can be isolated, quantified, and managed from a top risk management practitioner Offers up-to-date examples of managing market and credit risk Provides an overview and comparison of the various derivative instruments and their use in risk hedging Companion Website contains supplementary materials that allow you to continue to learn in a hands-on fashion long after closing the book Focusing on the management of those risks that can be successfully quantified, the Second Edition of Financial Risk Management + Websiteis the definitive source for managing market and credit risk.
Bayesian Risk Management

Bayesian Risk Management

Author: Matt Sekerke
Publisher: John Wiley & Sons
ISBN: 1118708601
Pages: 240
Year: 2015-09-15
A risk measurement and management framework that takes model risk seriously Most financial risk models assume the future will look like the past, but effective risk management depends on identifying fundamental changes in the marketplace as they occur. Bayesian Risk Management details a more flexible approach to risk management, and provides tools to measure financial risk in a dynamic market environment. This book opens discussion about uncertainty in model parameters, model specifications, and model–driven forecasts in a way that standard statistical risk measurement does not. And unlike current machine learning–based methods, the framework presented here allows you to measure risk in a fully–Bayesian setting without losing the structure afforded by parametric risk and asset–pricing models. Recognize the assumptions embodied in classical statistics Quantify model risk along multiple dimensions without backtesting Model time series without assuming stationarity Estimate state–space time series models online with simulation methods Uncover uncertainty in workhorse risk and asset–pricing models Embed Bayesian thinking about risk within a complex organization Ignoring uncertainty in risk modeling creates an illusion of mastery and fosters erroneous decision–making. Firms who ignore the many dimensions of model risk measure too little risk, and end up taking on too much. Bayesian Risk Management provides a roadmap to better risk management through more circumspect measurement, with comprehensive treatment of model uncertainty.
Financial Risk Management For Dummies

Financial Risk Management For Dummies

Author: Aaron Brown
Publisher: John Wiley & Sons
ISBN: 111908220X
Pages: 384
Year: 2015-11-16
TOPICS COVERED: Introduction Part I: Managing Risk Chapter 1: Living with Risk Chapter 2: Understanding Risk Chapter 3: Taking Charge of Risk Chapter 4: Managing Financial Risk Chapter 5: Working as a Financial Risk Manager Part II: Measuring Financial Risk Chapter 6: Valuing Risk Chapter 7: Stressing for Success Chapter 8: Speaking Greek Chapter 9: Pushing the Boundaries Part III: Managing Financial Risk Chapter 10: Setting Limits Chapter 11: Stopping Losses Chapter 12: Controlling Drawdowns Chapter 13: Hedging Bets Part IV: Working in Financial Institutions Chapter 14: Trading Places Chapter 15: Banking on Risk Chapter 16: Managing Asset Risk Chapter 17: Insuring Risk Part V: Communicating Risk Chapter 18: Reporting Risk Chapter 19: Dealing with Regulations Part VI: The Part of Tens Chapter 20: Ten One Minute Risk Management Tips Chapter 20: Ten Dramatic On-Line Illustrations ofRisk Chapter 21: Ten Great Risk Managers in History Chapter 22: Great Risk Management Books
Financial Statistics and Mathematical Finance

Financial Statistics and Mathematical Finance

Author: Ansgar Steland
Publisher: John Wiley & Sons
ISBN: 1118316568
Pages: 400
Year: 2012-06-21
Mathematical finance has grown into a huge area of research which requires a lot of care and a large number of sophisticated mathematical tools. Mathematically rigorous and yet accessible to advanced level practitioners and mathematicians alike, it considers various aspects of the application of statistical methods in finance and illustrates some of the many ways that statistical tools are used in financial applications. Financial Statistics and Mathematical Finance: Provides an introduction to the basics of financial statistics and mathematical finance. Explains the use and importance of statistical methods in econometrics and financial engineering. Illustrates the importance of derivatives and calculus to aid understanding in methods and results. Looks at advanced topics such as martingale theory, stochastic processes and stochastic integration. Features examples throughout to illustrate applications in mathematical and statistical finance. Is supported by an accompanying website featuring R code and data sets. Financial Statistics and Mathematical Finance introduces the financial methodology and the relevant mathematical tools in a style that is both mathematically rigorous and yet accessible to advanced level practitioners and mathematicians alike, both graduate students and researchers in statistics, finance, econometrics and business administration will benefit from this book.
Quantitative Financial Risk Management

Quantitative Financial Risk Management

Author: Constantin Zopounidis, Emilios Galariotis
Publisher: John Wiley & Sons
ISBN: 1118738225
Pages: 448
Year: 2015-06-08
A Comprehensive Guide to Quantitative Financial Risk Management Written by an international team of experts in the field, Quantitative Financial Risk Management: Theory and Practice provides an invaluable guide to the most recent and innovative research on the topics of financial risk management, portfolio management, credit risk modeling, and worldwide financial markets. This comprehensive text reviews the tools and concepts of financial management that draw on the practices of economics, accounting, statistics, econometrics, mathematics, stochastic processes, and computer science and technology. Using the information found in Quantitative Financial Risk Management can help professionals to better manage, monitor, and measure risk, especially in today's uncertain world of globalization, market volatility, and geo-political crisis. Quantitative Financial Risk Management delivers the information, tools, techniques, and most current research in the critical field of risk management. This text offers an essential guide for quantitative analysts, financial professionals, and academic scholars.
Correlation Risk Modeling and Management

Correlation Risk Modeling and Management

Author: Gunter Meissner
Publisher: John Wiley & Sons
ISBN: 1118796896
Pages: 350
Year: 2013-12-19
A thorough guide to correlation risk and its growing importance in global financial markets Ideal for anyone studying for CFA, PRMIA, CAIA, or other certifications, Correlation Risk Modeling and Management is the first rigorous guide to the topic of correlation risk. A relatively overlooked type of risk until it caused major unexpected losses during the financial crisis of 2007 through 2009, correlation risk has become a major focus of the risk management departments in major financial institutions, particularly since Basel III specifically addressed correlation risk with new regulations. This offers a rigorous explanation of the topic, revealing new and updated approaches to modelling and risk managing correlation risk. Offers comprehensive coverage of a topic of increasing importance in the financial world Includes the Basel III correlation framework Features interactive models in Excel/VBA, an accompanying website with further materials, and problems and questions at the end of each chapter
The Mathematics of Banking and Finance

The Mathematics of Banking and Finance

Author: Dennis Cox, Michael Cox
Publisher: John Wiley & Sons
ISBN: 0470028882
Pages: 310
Year: 2006-05-01
Throughout banking, mathematical techniques are used. Some of these are within software products or models; mathematicians use others to analyse data. The current literature on the subject is either very basic or very advanced. The Mathematics of Banking offers an intermediate guide to the various techniques used in the industry, and a consideration of how each one should be approached. Written in a practical style, it will enable readers to quickly appreciate the purpose of the techniques and, through illustrations, see how they can be applied in practice. Coverage is extensive and includes techniques such as VaR analysis, Monte Carlo simulation, extreme value theory, variance and many others. A practical review of mathematical techniques needed in banking which does not expect a high level of mathematical competence from the reader