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Simulation Techniques in Financial Risk Manaagement
Company: Wiley
Company Url: Click here to open
Year Of Publication: 2006
Month Of Publication: April
Resource Link: Click here to open
Pages: 240
Download Count: 0
View Count: 1510
Comment Num: 0
Language: English
Source: book
Who Can Read: Free
Date: 3-31-2011
Publisher: Administrator
Summary
This unique resource provides simulation techniques for financial risk managers ensuring you become well versed in many recent innovations, including Gibbs sampling, the use of heavy-tailed distributions in VaR calculations, construction of volatility smile, and state space modeling. The authors illustrate key concepts with examples and case studies you can reproduce using either S-PLUS or Visual Basic and provide exercises so you can apply new concepts and test your knowledge.
Author(s)
Chan, Ngai Hang Sign in to follow this author
Wong, Hoi Ying Sign in to follow this author
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