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Mathematics and Statistics for Financial Risk ManagementAssessing the Math in Risk ManagementNormal Price: $105.00
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Mathematics and Statistics for Financial Risk Management by Michael B. Miller
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.
"At every turn this book shows the relevance of mathematical and statistical concepts to risk management. They are no longer the desiccated notions found in most textbooks but assume a sense of vibrancy. So, if you're trying to hone your skills, this book is a great place to start." ( SeekingAlpha , April 2012)
ISBN: 9781118170625
ISBN-10: 1118170628 Classification: Finance , Economic statistics Format: Hardback (238mm x 166mm x 26mm) Pages: 292 Imprint: John Wiley & Sons Inc Publisher: John Wiley & Sons Inc Publish Date: 9-Mar-2012 Country of Publication: United States |
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