Simulation Techniques in Financial Risk Management (Statistics in Practice)
Автор:Ngai Hang Chan, Hoi-Ying Wong Год: 2006 Издание: [не указанo] Страниц: 240 ISBN: 0471469874 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-PLUSA® or Visual BasicA® 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.
