Chan Ngai Hang (EN) — Simulation Techniques in Financial Risk Management

Simulation Techniques in Financial Risk Management краткое содержание

Simulation Techniques in Financial Risk Management - описание и краткое содержание, автор Chan Ngai Hang (EN), читать бесплатно онлайн на сайте электронной библиотеки Lib-King.Ru.

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.