Mathematics and Statistics for Financial Risk Management

Mathematics and Statistics for Financial Risk Management

Book Details
Hardcover: 291 pages
Publisher: Wiley; 1 edition (March 6, 2012)
Language: English
ISBN-10: 1118170628
ISBN-13: 978-1118170625
File Size: 1.9 Mb | File Format: PDF

Book Description

A practical guide to modern financial risk management for both practitioners and academics

The recent financial crisis and its impact on the broader economy underscore the importance of financial risk management in today’s world. At the same time, financial products and investment strategies are becoming increasingly complex. Today, it is more important than ever that risk managers possess a sound understanding of mathematics and statistics.

In a concise and easy-to-read style, each chapter of this book introduces a different topic in mathematics or statistics. As different techniques are introduced, sample problems and application sections demonstrate how these techniques can be applied to actual risk management problems. Exercises at the end of each chapter and the accompanying solutions at the end of the book allow readers to practice the techniques they are learning and monitor their progress. A companion website includes interactive Excel spreadsheet examples and templates.

Covers basic statistical concepts from volatility and Bayes’ Law to regression analysis and hypothesistesting
Introduces risk models, including Value-at-Risk, factor analysis, Monte Carlo simulations, and stress testing
Explains time series analysis, including interest rate, GARCH, and jump-diffusion models
Explores bond pricing, portfolio credit risk, optimal hedging, and many other financial risk topics

If you’re looking for a book that will help you understand the mathematics and statistics of financial risk management, look no further.

Review

“At every turn this book shows the relevance of mathematical and statistical concepts to risk management. They are no longer the desiccated notions found in most textbooks but assume a sense of vibrancy. So, if you’re trying to hone your skills, this book is a great place to start.” (SeekingAlpha, April 2012)

This is an excellent book to grasp the basics of financial risk management. Everything in the book is explained from scratch and the concepts are very well exemplified with real life situations. This is the prescribed text book for my Risk Management class and is by far one of the best courses I have taken. As a matter of fact, the book’s author conducts this course and I am highly impressed with the course material, thanks to this text book. I would totally recommend the book. — By Pri From amazon

I gave this book five stars because, the book is easy to read and the author did a good job in explaining the concepts covered in the books. The problems at the end of the chapters were helpful for testing my understanding of concepts covered. I will recommend it to anyone interested in the mathematical and statistical foundations for computational finance. — By kobby79 From amazon

CHAPTER 1 Some Basic Math
CHAPTER 2 Probabilities
CHAPTER 3 Basic Statistics
CHAPTER 4 Distributions
CHAPTER 5 Hypothesis Testing & Confidence Intervals
CHAPTER 6 Matrix Algebra
CHAPTER 7 Vector Spaces
CHAPTER 8 Linear Regression Analysis
CHAPTER 9 Time Series Models
CHAPTER 10 Decay Factors

APPENDIX A Binary Numbers
APPENDIX B Taylor Expansions
APPENDIX C Vector Spaces
APPENDIX D Greek Alphabet
APPENDIX E Common Abbreviations