Mathematics and Statistics for Financial Risk Management
Assessing the Math in Risk Management
By (author) Michael B. Miller
Mathematics and Statistics for Financial Risk Management by Michael B. Miller
Book DescriptionMathematics 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.
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Book DetailsISBN: 9781118170625
(230mm x 161mm x 28mm)
Imprint: John Wiley & Sons Inc
Publisher: John Wiley & Sons Inc
Publish Date: 9-Mar-2012
Country of Publication: United States
Books By Author Michael B. Miller
Mathematics and Statistics for Financial Risk Management, Hardback (February 2014)
Mathematics and Statistics for Financial Risk Management is a practical guide to modern financial risk management for both practitioners and academics.
Europe and the Maritime World, Paperback (January 2014)
This book explores the development of the global economy in the twentieth century through the lens of the European maritime infrastructure.
Year in Cognitive Neuroscience, Paperback (April 2012)
Features major issues and topics in cognitive neuroscience, including the role of strategies in motor learning; efficient coding and the neural representation of value; the emotion paradox in the aging brain; perceptual foundations of bilingual acquisition in infancy; understanding disgust; and more.
Bon Marche, Paperback (May 1994)» View all books by Michael B. Miller
Offering a comprehensive social history of the Bon Marche, the Parisian department store that was the largest in the world before 1914, this title explores the bourgeois identities, ambitions, and anxieties that the emporia so vividly dramatized.
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Author Biography - Michael B. Miller
Michael B. Miller studied economics at the American University of Paris and the University of Oxford before starting a career in finance. He has worked in risk management for more than ten years, most recently as the chief risk officer for a hedge fund in New York City.
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