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Essential mathematics for market risk management

  1. Title statementEssential mathematics for market risk management / Simon Hubbert
    Personal name Hubbert, Simon (author)
    PublicationNew York : John Wiley & Sons, 2012
    Phys.des.1 online zdroj (354 stran)
    ISBN9781119953012 (online ; pdf)
    Notes to AvailabilityPřístup pouze pro oprávněné uživatele
    NoteZpůsob přístupu: World Wide Web
    DefektyeBooks on EBSCOhost
    Subj. Headings finanční matematika business mathematics * finanční rizika financial risks * rizikový management risk management * kapitálové trhy capital market
    Form, Genre elektronické knihy electronic books
    Conspect336.7 - Finance
    UDC 336.76 , 005.334:005.332.3 , 336.7:330.131.7 , 336:51-7 , (0.034.2:08)
    CountryNew York
    Document kindElectronic sources


    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.

    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.

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