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Market risk modelling : applied statistical methods for practitioners

Author: Nigel Da Costa Lewis
Publisher: London : Risk Books, 2003.
Edition/Format:   Print book : EnglishView all editions and formats
Database:WorldCat
Summary:

This work is written with a "how to" approach that not only provides practical examples on how statistical methods can be used to solve many day-to-day problems, but also advises the reader on how to  Read more...

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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Nigel Da Costa Lewis
ISBN: 1904339077 9781904339076
OCLC Number: 51316552
Description: xiv, 238 pages : illustrations ; 25 cm
Contents: 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
Responsibility: Nigel Da Costa Lewis.

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