Simulation Techniques in Financial Risk ManagementISBN: 978-0-471-46987-2
Hardcover
240 pages
April 2006
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- Aims at the intermediate level where readers are not assumed to have a background in risk management (RM) or finance
- Incorporates case studies throughout the book, so readers can acquire first-hand knowledge and illustrations on how simulation techniques are applied in real-life situations
- Covers many recent methods in RM that are typically not discussed in competing works (ie. in-depth analyses on simulations of exotic options, construction of volatility smile, fixed-income assets, state space modeling) in order to narrow the gap between academic development and practical application
- Introduces the notions of market, credit, and operational risk early on so that readers can immediately appreciate the complexity and importance of stress testing and its relationship to simulations
- Showcases concepts in-text while relegating technical details to the references so readers of multiple backgrounds can absorb different levels of understanding
- Discusses Bayesian influences on techniques in an effort to address that segment of the statistical community
- Employs S-PLUS® for detailed analyses and explanations so as to minimize tedious hand computations
