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Simulation Techniques in Financial Risk Management

2006-04-20 Mathematics
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Release : 2006-04-20
Genre : Mathematics
Kind : eBook
Book Rating : 488/5 ( reviews)

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Book Synopsis Simulation Techniques in Financial Risk Management by : Ngai Hang Chan

Download or read book Simulation Techniques in Financial Risk Management written by Ngai Hang Chan. This book was released on 2006-04-20. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Handbook of Financial Risk Management

2013-06-17 Business & Economics
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Release : 2013-06-17
Genre : Business & Economics
Kind : eBook
Book Rating : 544/5 ( reviews)

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Book Synopsis Handbook of Financial Risk Management by : Ngai Hang Chan

Download or read book Handbook of Financial Risk Management written by Ngai Hang Chan. This book was released on 2013-06-17. Available in PDF, EPUB and Kindle. Book excerpt: An authoritative handbook on risk management techniques and simulations as applied to financial engineering topics, theories, and statistical methodologies The Handbook of Financial Risk Management: Simulations and Case Studies illustrates the practical implementation of simulation techniques in the banking and financial industries through the use of real-world applications. Striking a balance between theory and practice, the Handbook of Financial Risk Management: Simulations and Case Studies demonstrates how simulation algorithms can be used to solve practical problems and showcases how accuracy and efficiency in implementing various simulation methods are indispensable tools in risk management. The book provides the reader with an intuitive understanding of financial risk management and deepens insight into those financial products that cannot be priced traditionally. The Handbook of Financial Risk Management also features: Examples in each chapter derived from consulting projects, current research, and course instruction Topics such as volatility, fixed-income derivatives, LIBOR Market Models, and risk measures Over twenty-four recognized simulation models Commentary, data sets, and computer subroutines available on a chapter-by-chapter basis As a complete reference for practitioners, the book is useful in the fields of finance, business, applied statistics, econometrics, and engineering. The Handbook of Financial Risk Management is also an excellent text or supplement for graduate and MBA-level students in courses on financial risk management and simulation.

Simulation Techniques in Financial Risk Management

2015-04-13 Mathematics
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Release : 2015-04-13
Genre : Mathematics
Kind : eBook
Book Rating : 935/5 ( reviews)

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Book Synopsis Simulation Techniques in Financial Risk Management by : Ngai Hang Chan

Download or read book Simulation Techniques in Financial Risk Management written by Ngai Hang Chan. This book was released on 2015-04-13. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Risk Management and Simulation

2016-04-19 Business & Economics
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Release : 2016-04-19
Genre : Business & Economics
Kind : eBook
Book Rating : 950/5 ( reviews)

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Book Synopsis Risk Management and Simulation by : Aparna Gupta

Download or read book Risk Management and Simulation written by Aparna Gupta. This book was released on 2016-04-19. Available in PDF, EPUB and Kindle. Book excerpt: The challenges of the current financial environment have revealed the need for a new generation of professionals who combine training in traditional finance disciplines with an understanding of sophisticated quantitative and analytical tools. Risk Management and Simulation shows how simulation modeling and analysis can help you solve risk managemen

Handbook of Financial Risk Management

2013-07-10 Business & Economics
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Release : 2013-07-10
Genre : Business & Economics
Kind : eBook
Book Rating : 159/5 ( reviews)

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Book Synopsis Handbook of Financial Risk Management by : Ngai Hang Chan

Download or read book Handbook of Financial Risk Management written by Ngai Hang Chan. This book was released on 2013-07-10. Available in PDF, EPUB and Kindle. Book excerpt: An authoritative handbook on risk management techniques and simulations as applied to financial engineering topics, theories, and statistical methodologies The Handbook of Financial Risk Management: Simulations and Case Studies illustrates the prac­tical implementation of simulation techniques in the banking and financial industries through the use of real-world applications. Striking a balance between theory and practice, the Handbook of Financial Risk Management: Simulations and Case Studies demonstrates how simulation algorithms can be used to solve practical problems and showcases how accuracy and efficiency in implementing various simulation methods are indispensable tools in risk management. The book provides the reader with an intuitive understanding of financial risk management and deepens insight into those financial products that cannot be priced traditionally. The Handbook of Financial Risk Management also features: Examples in each chapter derived from consulting projects, current research, and course instruction Topics such as volatility, fixed-income derivatives, LIBOR Market Models, and risk measures Over twenty-four recognized simulation models Commentary, data sets, and computer subroutines available on a chapter-by-chapter basis As a complete reference for practitioners, the book is useful in the fields of finance, business, applied statistics, econometrics, and engineering. The Handbook of Financial Risk Management is also an excellent text or supplement for graduate and MBA-level students in courses on financial risk management and simulation.

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