Market risk modelling : applied statistical methods for practitioners
著者
書誌事項
Market risk modelling : applied statistical methods for practitioners
Risk, c2003
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注記
Includes bibliographical references (p. 227-231) and index
内容説明・目次
内容説明
Provides the practitioner, consultant and academic with quantitative expertise in an authoritative and up-to-date treatment of the most crucial innovations in the application of statistical methods to market risk modelling. 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 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.
目次
CONTENTS 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
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