Mathematical Risk Analysis PDF Download
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Author | : Ludger Rüschendorf |
Publisher | : Springer Science & Business Media |
Total Pages | : 414 |
Release | : 2013-03-12 |
Genre | : Mathematics |
ISBN | : 364233590X |
Download Mathematical Risk Analysis Book in PDF, ePub and Kindle
The author's particular interest in the area of risk measures is to combine this theory with the analysis of dependence properties. The present volume gives an introduction of basic concepts and methods in mathematical risk analysis, in particular of those parts of risk theory that are of special relevance to finance and insurance. Describing the influence of dependence in multivariate stochastic models on risk vectors is the main focus of the text that presents main ideas and methods as well as their relevance to practical applications. The first part introduces basic probabilistic tools and methods of distributional analysis, and describes their use to the modeling of dependence and to the derivation of risk bounds in these models. In the second, part risk measures with a particular focus on those in the financial and insurance context are presented. The final parts are then devoted to applications relevant to optimal risk allocation, optimal portfolio problems as well as to the optimization of insurance contracts. Good knowledge of basic probability and statistics as well as of basic general mathematics is a prerequisite for comfortably reading and working with the present volume, which is intended for graduate students, practitioners and researchers and can serve as a reference resource for the main concepts and techniques.
Author | : Igor Rychlik |
Publisher | : Springer Science & Business Media |
Total Pages | : 287 |
Release | : 2006-10-07 |
Genre | : Mathematics |
ISBN | : 3540395210 |
Download Probability and Risk Analysis Book in PDF, ePub and Kindle
This text presents notions and ideas at the foundations of a statistical treatment of risks. The focus is on statistical applications within the field of engineering risk and safety analysis. Coverage includes Bayesian methods. Such knowledge facilitates the understanding of the influence of random phenomena and gives a deeper understanding of the role of probability in risk analysis. The text is written for students who have studied elementary undergraduate courses in engineering mathematics, perhaps including a minor course in statistics. This book differs from typical textbooks in its verbal approach to many explanations and examples.
Author | : Hans Bühlmann |
Publisher | : Springer Science & Business Media |
Total Pages | : 218 |
Release | : 2007-06-15 |
Genre | : Mathematics |
ISBN | : 3540307117 |
Download Mathematical Methods in Risk Theory Book in PDF, ePub and Kindle
From the reviews: "The huge literature in risk theory has been carefully selected and supplemented by personal contributions of the author, many of which appear here for the first time. The result is a systematic and very readable book, which takes into account the most recent developments of the field. It will be of great interest to the actuary as well as to the statistician . . ." -- Math. Reviews Vol. 43
Author | : Tim Bedford |
Publisher | : Cambridge University Press |
Total Pages | : 228 |
Release | : 2001-04-30 |
Genre | : Mathematics |
ISBN | : 9780521773201 |
Download Probabilistic Risk Analysis Book in PDF, ePub and Kindle
A graduate level textbook on probabilistic risk analysis, aimed at statisticians, operations researchers and engineers.
Author | : Simon Hubbert |
Publisher | : John Wiley & Sons |
Total Pages | : 354 |
Release | : 2012-01-17 |
Genre | : Business & Economics |
ISBN | : 1119979528 |
Download Essential Mathematics for Market Risk Management Book in PDF, ePub and Kindle
Everything you need to know in order to manage risk effectively within your organization You cannot afford to ignore the explosion in mathematical finance in your quest to remain competitive. This exciting branch of mathematics has very direct practical implications: when a new model is tested and implemented it can have an immediate impact on the financial environment. With risk management top of the agenda for many organizations, this book is essential reading for getting to grips with the mathematical story behind the subject of financial risk management. It will take you on a journey—from the early ideas of risk quantification up to today's sophisticated models and approaches to business risk management. To help you investigate the most up-to-date, pioneering developments in modern risk management, the book presents statistical theories and shows you how to put statistical tools into action to investigate areas such as the design of mathematical models for financial volatility or calculating the value at risk for an investment portfolio. Respected academic author Simon Hubbert is the youngest director of a financial engineering program in the U.K. He brings his industry experience to his practical approach to risk analysis Captures the essential mathematical tools needed to explore many common risk management problems Website with model simulations and source code enables you to put models of risk management into practice Plunges into the world of high-risk finance and examines the crucial relationship between the risk and the potential reward of holding a portfolio of risky financial assets This book is your one-stop-shop for effective risk management.
Author | : Alexander Melnikov |
Publisher | : CRC Press |
Total Pages | : 267 |
Release | : 2003-09-25 |
Genre | : Mathematics |
ISBN | : 0203498577 |
Download Risk Analysis in Finance and Insurance Book in PDF, ePub and Kindle
Historically, financial and insurance risks were separate subjects most often analyzed using qualitative methods. The development of quantitative methods based on stochastic analysis is an important achievement of modern financial mathematics, one that can naturally be extended and applied in actuarial mathematics. Risk Analysis in Finance
Author | : Michael B. Miller |
Publisher | : John Wiley & Sons |
Total Pages | : 341 |
Release | : 2013-12-31 |
Genre | : Business & Economics |
ISBN | : 1118750292 |
Download Mathematics and Statistics for Financial Risk Management Book in PDF, ePub and Kindle
Mathematics and Statistics for Financial Risk Management is a practical guide to modern financial risk management for both practitioners and academics. Now in its second edition with more topics, more sample problems and more real world examples, this popular guide to financial risk management introduces readers to practical quantitative techniques for analyzing and managing financial risk. In a concise and easy-to-read style, each chapter 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 Web site includes interactive Excel spreadsheet examples and templates. Mathematics and Statistics for Financial Risk Management is an indispensable reference for today’s financial risk professional.
Author | : Dipak K. Dey |
Publisher | : CRC Press |
Total Pages | : 538 |
Release | : 2016-01-06 |
Genre | : Mathematics |
ISBN | : 1498701310 |
Download Extreme Value Modeling and Risk Analysis Book in PDF, ePub and Kindle
Extreme Value Modeling and Risk Analysis: Methods and Applications presents a broad overview of statistical modeling of extreme events along with the most recent methodologies and various applications. The book brings together background material and advanced topics, eliminating the need to sort through the massive amount of literature on the subje
Author | : Carol Alexander |
Publisher | : John Wiley & Sons |
Total Pages | : 318 |
Release | : 2008-04-30 |
Genre | : Business & Economics |
ISBN | : 047077102X |
Download Market Risk Analysis, Quantitative Methods in Finance Book in PDF, ePub and Kindle
Written by leading market risk academic, Professor Carol Alexander, Quantitative Methods in Finance forms part one of the Market Risk Analysis four volume set. Starting from the basics, this book helps readers to take the first step towards becoming a properly qualified financial risk manager and asset manager, roles that are currently in huge demand. Accessible to intelligent readers with a moderate understanding of mathematics at high school level or to anyone with a university degree in mathematics, physics or engineering, no prior knowledge of finance is necessary. Instead the emphasis is on understanding ideas rather than on mathematical rigour, meaning that this book offers a fast-track introduction to financial analysis for readers with some quantitative background, highlighting those areas of mathematics that are particularly relevant to solving problems in financial risk management and asset management. Unique to this book is a focus on both continuous and discrete time finance so that Quantitative Methods in Finance is not only about the application of mathematics to finance; it also explains, in very pedagogical terms, how the continuous time and discrete time finance disciplines meet, providing a comprehensive, highly accessible guide which will provide readers with the tools to start applying their knowledge immediately. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the accompanying CD-ROM . Empirical examples and case studies specific to this volume include: Principal component analysis of European equity indices; Calibration of Student t distribution by maximum likelihood; Orthogonal regression and estimation of equity factor models; Simulations of geometric Brownian motion, and of correlated Student t variables; Pricing European and American options with binomial trees, and European options with the Black-Scholes-Merton formula; Cubic spline fitting of yields curves and implied volatilities; Solution of Markowitz problem with no short sales and other constraints; Calculation of risk adjusted performance metrics including generalised Sharpe ratio, omega and kappa indices.
Author | : Louis Anthony Cox Jr. |
Publisher | : Springer Science & Business Media |
Total Pages | : 457 |
Release | : 2009-06-12 |
Genre | : Business & Economics |
ISBN | : 0387890149 |
Download Risk Analysis of Complex and Uncertain Systems Book in PDF, ePub and Kindle
In Risk Analysis of Complex and Uncertain Systems acknowledged risk authority Tony Cox shows all risk practitioners how Quantitative Risk Assessment (QRA) can be used to improve risk management decisions and policies. It develops and illustrates QRA methods for complex and uncertain biological, engineering, and social systems – systems that have behaviors that are just too complex to be modeled accurately in detail with high confidence – and shows how they can be applied to applications including assessing and managing risks from chemical carcinogens, antibiotic resistance, mad cow disease, terrorist attacks, and accidental or deliberate failures in telecommunications network infrastructure. This book was written for a broad range of practitioners, including decision risk analysts, operations researchers and management scientists, quantitative policy analysts, economists, health and safety risk assessors, engineers, and modelers.