Market Risk Modelling: Applied Statistical Methods for Practitioners - Hardcover

Inhaltsangabe

Provides the practitioner, consultant and academic with vital quantitative expertise in an authoritative and up-to-date treatment of the most crucial innovations in the application of statistical methods to market risk modelling. Uniquely written from a practitioner's perspective, this title is sympathetic to the needs of the busy practitioner and is designed to provide rapid and succinct access to useful statistical methods in one handy volume. The use of practical examples and accessible panels will allow the market risk manager to quickly and easily implement, evaluate and extend a wide variety of statistical modelling tools and techniques for more accurate market risk assessment. This timely release illustrates the value to be gained from the statistical ysis of market risk data providing a valuable competitive edge in these times of increased regulation. Key topics such as extreme value theory, volatility modelling, principle components, confidence intervals and fitting probability distributions to real data are covered in sufficient detail so that these methods can be integrated into your own risk management systems.

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