[下载]Simulation Techniques in Financial Risk Management

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[下载]Simulation Techniques in Financial Risk Management
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Simulation Techniques in Financial Risk Management (Statistics in Practice) (Hardcover)

by Ngai Hang Chan (Author), Hoi-Ying Wong (Author)

Hardcover: 240 pages

Publisher: Wiley-Interscience (April 12, 2006)

Language: English

ISBN-10: 0471469874

ISBN-13: 978-0471469872

Review
"…a wonderful book and strongly recommended for practitioners in the field." (Technometrics, May 2007)

"…a nice, self-contained introduction to simulation and computational techniques in finance…interesting for practitioners…a valuable source for graduate courses…" (Mathematical Reviews, 2007c)

Product Description
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.

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关键词：Techniques Management Simulation Managemen Technique financial Management Simulation Risk Techniques