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Market risk modelling : applied statistical methods for practitioners

Author: Nigel Da Costa Lewis
Publisher: London : Risk Books, [2012] ©2012
Edition/Format:   eBook : Document : English : Second editionView all editions and formats
Summary:

The second edition of Market Risk Modelling examines the latest developments and updates in statistical methods used to solve the day-to-day problems faced by a risk manager. After almost a decade  Read more...

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Genre/Form: Electronic books
Additional Physical Format: Print version:
Lewis, Nigel Da Costa.
Market risk modelling.
(OCoLC)835236539
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Nigel Da Costa Lewis
ISBN: 9781782720065 1782720065
OCLC Number: 864675667
Description: 1 online resource (xiii, 242 pages) : illustrations
Contents: Risk modelling and its myths. --
Mastering the R statistical package. --
Key concepts on probability. --
Tools for describing risk factors and portfolios. --
The essentials of hypothesis testing for risk managers. --
Alternative methods to measure correlation. --
A primer on maximum likelihood estimation. --
Regression in a nutshell. --
Fitting probability distributions to data. --
Practical principal components analysis. --
Three essential models for volatility. --
Random numbers and applied simulation. --
Tail risk modelling. --
Conclusions.
Responsibility: Nigel Da Costa Lewis.

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