| 查看: 438 | 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
285求调剂
已经有12人回复
-
求调剂
已经有6人回复
-
085600材料与化工301分求调剂院校
已经有19人回复
-
277工科求调剂
已经有11人回复
-
277求调剂 数一104分
已经有13人回复
-
304求调剂
已经有10人回复
-
336求调剂，一志愿中科大
已经有6人回复
-
071000生物学，一志愿深圳大学296分，求调剂
已经有3人回复
-
一志愿北京化工085600 310分求调剂
已经有19人回复
-
274求调剂求调剂
已经有7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
