Transcription of Mathematical Modeling and Statistical Methods for Risk ...
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Mathematical Modeling and Statistical Methodsfor Risk ManagementLecture Notesc Henrik Hult and Filip Lindskog2007 Contents1 Some background to financial risk A preliminary example .. Why risk management? .. Regulators and supervisors .. Why the government cares about the buffer capital .. Types of risk .. Financial derivatives .. 42 Loss operators and financial Portfolios and the loss operator .. The general case .. 73 Risk Elementary measures of risk .. Risk measures based on the loss distribution .. 134 Methods for computing VaR and Empirical VaR and ES .. Confidence intervals .. Exact confidence intervals for Value-at-Risk .. Using the bootstrap to obtain confidence intervals .. Historical simulation .. Variance Covariance method.
There is also a strive to develop international standards and methods for computing regulatory capital. This is the main task of the so-called Basel Com-mittee. The Basel Committee, established in 1974, does not possess any formal
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