Simulation techniques in financial risk management
Ngai Hang Chan · 2006
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About the book
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.
Book details
- Year
- 2006
- Language
- English
- Publisher
- John Wiley & Sons, Ltd.
- Editions
- 8
- ISBN
- 9780471789482
Data source: Wikidata
