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Essential Mathematics for Market Risk Management.

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 m...

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Détails bibliographiques
Cote:Libro Electrónico
Auteur principal: Hubbert, Simon
Format: Électronique eBook
Langue:Inglés
Publié: New York : John Wiley & Sons, 2012.
Sujets:
Accès en ligne:Texto completo
Table des matières:
  • Essential Mathematics for Market Risk Management; Contents; Preface; 1 Introduction; 1.1 Basic Challenges in Risk Management; 1.2 Value at Risk; 1.3 Further Challenges in Risk Management; 2 Applied Linear Algebra for Risk Managers; 2.1 Vectors and Matrices; 2.2 Matrix Algebra in Practice; 2.3 Eigenvectors and Eigenvalues; 2.4 Positive Definite Matrices; 3 Probability Theory for Risk Managers; 3.1 Univariate Theory; 3.1.1 Random variables; 3.1.2 Expectation; 3.1.3 Variance; 3.2 Multivariate Theory; 3.2.1 The joint distribution function; 3.2.2 The joint and marginal density functions.