| 查看: 500 | 回复: 4 | |||
| 【奖励】 本帖被评价2次，作者jackiemwd增加金币 1.5 个 | |||
| 当前主题已经存档。 | |||
[资源]
［转贴］2007的Mathematical Modeling and Statistical Methods［无重复］
|
|||
|
Mathematical Modeling and Statistical Methods for Risk Management Lecture Notes 2007 Mathematical Modeling and Statistical Methods for Risk Management Lecture Notes, 2007 By Henrik Hult, Filip Lindskog Division of Applied Mathematics, Brown University, Providence, USA; and Department of Mathematics, KTH, Stockholm, Sweden Number Of Pages: 108 Publication Date: 2007 Binding: pdf Preface These lecture notes aims at giving an introduction to Quantitative Risk Management. We will introduce statistical techniques used for deriving the profit-and-loss distribution for a portfolio of financial instruments and to compute risk measures associated with this distribution. The focus lies on the mathematical/ statistical modeling of market- and credit risk. Operational risk and the use of financial time series for risk modeling is not treated in these lecture notes. Financial institutions typically hold portfolios consisting on large number of financial instruments. A careful modeling of the dependence between these instruments is crucial for good risk management in these situations. A large part of these lecture notes is therefore devoted to the issue of dependence modeling. The reader is assumed to have a mathematical/statistical knowledge corresponding to basic courses in linear algebra, analysis, statistics and an intermediate course in probability. The lecture notes are written with the aim of presenting the material in a fairly rigorous way without any use of measure theory. The chapters 1-4 in these lecture notes are based on the book [12] which we strongly recommend. More material on the topics presented in remaining chapters can be found in [8] (chapters 5-7), [12] (chapters 8-12) and articles found in the list of references at the end of these lecture notes. Henrik Hult and Filip Lindskog, 2007 http://rapidshare.com/files/53218713/R20070903B.rar 或者 http://mihd.net/4fm70i [ Last edited by cuplgz on 2008-1-18 at 14:17 ] |
回复此楼» 猜你喜欢
关于Filecode分析方法
已经有5人回复
-
2019年青年基金涵评意见，大家看看几个A，几个B?
已经有8人回复
-
不应该看fileCode
已经有6人回复
-
好奇怪的filecode
已经有6人回复
-
FileCode能看出啥？
已经有21人回复
-
长年满屏的广告，版主太不责任了。基金也等的急
已经有4人回复
-
filecode
已经有15人回复
-
应该是93bebmhtak前后十一个字符比较关键
已经有35人回复
-
职称评审，求友友推荐见刊最快的期刊
已经有4人回复
-
奇怪，两个人的filecode固定段从头到尾一模一样
已经有10人回复
2楼2007-09-04 12:26:56
3楼2007-09-15 10:48:52
4楼2007-11-08 07:40:21
