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A Primer on Risk Mathemetics
Company: Multi-Asset Risk Modeling
Company Url: Click here to open
Year Of Publication: 2014
Month Of Publication: January
Resource Link: Click here to open
Pages: 21-61
Download Count: 0
View Count: 709
Comment Num: 0
Language: English
Source: book chapter
Who Can Read: Free
Date: 12-27-2013
Publisher: Administrator
Summary
The chapter provides an overview of the mathematics, statistics, and probabilities required to measure, analyze, and forecast risk. We discuss probability theory and statistical analysis, unbiased estimates, time-series math, linear regression, and nonlinear estimation techniques (including logit and probit models and neural networks). The chapter also provides an overview of hypothesis testing, optimization, and linear algebra. It includes a mathematical description for our many risk statistics such as marginal contribution to risk, value at risk, Sharpe ratio, information ratio, etc. We also discuss extreme value functions and the investigation of outliers.
Author(s)
Glantz, Morton Sign in to follow this author
Kissell, Robert Sign in to follow this author
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