Market Risk Modelling
Applied Statistical Methods for Practitioners
| Publication Date | April 2003 |
|---|---|
| Publisher | Risk Books |
| Product Type | Book |
| Pages | 238 |
| ISBN Number | 1904339077 |
| Product Code | RIS00304 |
Buy this product or for assistance call +44 20 7060 7474
Summary
- Uniquely written from a practitioner's perspective, this title is sympathetic to the needs of the busy practitioner and is designed to provide rapid and succinct access to useful statistical methods in one handy volume
- The use of practical examples and accessible panels will allow the market risk manager to quickly and easily implement, evaluate and extend a wide variety of statistical modelling tools and techniques for more accurate market risk assessment
- This timely release illustrates the value to be gained from the statistical analysis of market risk data providing a valuable competitive edge in these times of increased regulation
- Key topics such as extreme value theory, volatility modelling, principle components, confidence intervals and fitting probability distributions to real data are covered in sufficient detail so that these methods can be integrated into your own risk management systems
Content
- about the Author
- Preface
- 1. Introduction to Market Risk Management
- 2. Random Variables and Probability
- 3. Describing Risk Factors and Portfolios
- 4. Displaying Risk Factors and Portfolios
- 5. The Normal Distribution
- 6. The Method of Maximum Likelihood
- 7. Fitting Probability Distributions to Risk Factors and Portfolios
- 8. Principle Component Analysis
- 9. Modelling Volatility
- 10. Extreme Value Theory
- 11. Methods of Simulation
- 12. Hypothesis Testing
- 13. Statistical Tests for Market Risk Management
- 14. Confidence Intervals
- 15. The Theory and Practice of Market Risk Management
- Glossary
- Bibliography
- Index
Delivery Details
PRINT/CD-ROM:UK 3-5 days; Europe, USA & Canada 5-7 days ; RoW 6-10 days
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