Simulation Techniques in Financial Risk Management (Statistics in Practice)

By Ngai Hang Chan and Hoi-Ying Wong

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.

• Format: Hardcover
• Language: English
• ISBN: 0471469874
• ISBN13: 9780471469872
• Release Date: April 2006
• Publisher: Wiley-Interscience
• Length: 240 Pages
• Weight: 1.15 lbs.
• Dimensions: 9.6" x 0.7" x 6.4"

Customer Reviews

Perfect book for practitioners

Perfect practical focus on the fat tail distribution using GED function with nice Matlab examples. Saves time at the developing stage.

Nice balance of programming and theory

I like this book to be a handy reference when working on VAR analysis. The examples are very much relevant and there is no need to hunt around different sources