Mathematics and Statistics for Financial Risk Management 2nd Edition

A practical guide to modern financial risk management for both practitioners and academics.Now in its second edition ...

Posted by northpark · on 2018-09-17


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.

This incisive resource:

  • Covers basic statistical concepts—from standard deviation and correlation to regression analysis and hypothesis testing
  • Explores widely used risk models, including value at risk, factor analysis, Monte Carlo simulation, and stress testing
  • Contains numerous sample problems and end-of-chapter exercises (with answers)
  • Includes a companion website with Excel examples and templates
  • Features two new chapters, which cover multivariate distributions, copulas, and Bayesian analysis

Mathematics and Statistics for Financial Risk Management is an indispensable reference for today's financial risk professional.

About the Author
Michael B. Miller studied economics at the American University of Paris and the University of Oxford before starting a career in finance. He has worked in risk management for more than 10 years and is currently the CEO of Northstar Risk Corp.

Preface ix
What’s New in the Second Edition xi
Acknowledgments xiii
Chapter 1 Some Basic Math 1
Chapter 2 Probabilities 15
Chapter 3 Basic Statistics 29
Chapter 4 Distributions 61
Chapter 5 Multivariate Distributions and Copulas 89
Chapter 6 Bayesian Analysis 113
Chapter 7 Hypothesis Testing and Confidence Intervals 135
Chapter 8 Matrix Algebra 155
Chapter 9 Vector Spaces 169
Chapter 10 Linear Regression Analysis 195
Chapter 11 Time Series Models 215
Chapter 12 Decay Factors 237
Appendix A Binary Numbers 249
Appendix B Taylor Expansions 251
Appendix C Vector Spaces 253
Appendix D Greek Alphabet 255
Appendix E Common Abbreviations 257
Appendix F Copulas 259
Answers 263
References 303
About the Author 305
About the Companion Website 307
Index 309

Edition: 2nd Edition
ISBN: 9781118170625
Posted on: 6/5/2016
Format: Pdf
Page Count: 333 Pages
Author: Michael Vincent Miller,: --------------------

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