Handbook of financial risk management : simulations and case studies / N. H. Chan, H. Y. Wong, The Chinese University of Hong Kong.

Format:

Book

Author/Creator:

Chan, Ngai Hang.

Contributor:

Wong, Hoi Ying, 1974-

Series:

Wiley handbooks in financial engineering and econometrics

Language:

English

Subjects (All):

Finance--Simulation methods.

Finance.

Risk management--Simulation methods.

Risk management.

Simulation methods.

Physical Description:

xv, 412 pages : illustrations ; 25 cm.

Place of Publication:

Hoboken, New Jersey : Wiley, [2013]

Summary:

The Handbook of Financial Risk Management: Simulations and Case Studies illustrates the practical implementation of simulation techniques in the banking and financial industries through the use of real-world applications. Striking a balance between theory and practice, the Handbook of Financial Risk Management: Simulations and Case Studies demonstrates how simulation algorithms can be used to solve practical problems and showcases how accuracy and efficiency in implementing various simulation methods are indispensable tools in risk management. The book provides the reader with an intuitive understanding of financial risk management and deepens insight into those financial products that cannot be priced traditionally. The Handbook of Financial Risk Management also features: Examples in each chapter derived from consulting projects, current research, and course instruction, Topics such as volatility, fixed-income derivatives, LIBOR Market Models, and risk measures, Over twenty-four recognized simulation models, Commentary, data sets, and computer subroutines available on a chapter-by-chapter basis, As a complete reference for practitioners, the book is useful in the fields of finance, business, applied statistics, econometrics, and engineering. The Handbook of Financial Risk Management is also an excellent text or supplement for graduate and MBA-level students in courses on financial risk management and simulation. Book jacket.

Contents:

An introduction to Excel VBA

Background

Structured products

Volatility modeling

Fixed-income derivatives I : short-rate models

Fixed-income derivatives II : libor market models

Credit derivatives and counterparty credit risk

Value-at-risk and related risk measures

The Greeks.

Notes:

Includes bibliographical references and index.

Other Format:

Online version: Chan, Ngai Hang. Handbook of simulation and financial risk management with practical case studies

ISBN:

9780470647158

0470647159

OCLC:

827198385