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Handbook of simulation and financial risk management with practical case studies / Ngai Hang Chan, Department of Statistics, the Chinese University of Hong Kong, Shatin, Hong Kong, Hoi Ying Wong, Department of Statistics, the Chinese University of Hong Kong, Shatin, Hong Kong.

By: Chan, Ngai Hang.
Contributor(s): Wong, Hoi Ying, 1974-.
Material type: materialTypeLabelBookSeries: Wiley handbooks in financial engineering and econometrics: Publisher: Hoboken : Wiley, 2013Description: 1 online resource.Content type: text Media type: computer Carrier type: online resourceISBN: 9781118573549; 1118573544; 9781118573501; 1118573501; 9781118573587; 1118573587; 9781118573570; 1118573579; 1299678726; 9781299678729.Subject(s): Finance -- Simulation methods | Risk management -- Simulation methods | BUSINESS & ECONOMICS -- Investments & Securities -- General | Risk management - Simulation methodsGenre/Form: Electronic books. | Electronic books.Additional physical formats: Print version:: Handbook of simulation and financial risk management with practical case studies.DDC classification: 332.64/50113 Online resources: Wiley Online Library
Contents:
List of figures -- List of tables -- Preface -- 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 -- Appendix -- References -- Subject index -- Author index.
Summary: This authoritative handbook illustrates practical implementation of simulation techniques in the banking and financial industries through use of real-world, time-sensitive applications. Striking a balance between theory and practice, it demonstrates how simulation algorithms can be used to solve practical problems and showcases how accuracy and efficiency in implementing various simulation methods can be used as indispensable tools in risk management. It also covers topics such as volatility, fixed-income derivatives, LIBOR Market Models, risk measures, and includes over two-dozen recognized s.
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Includes bibliographical references and index.

List of figures -- List of tables -- Preface -- 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 -- Appendix -- References -- Subject index -- Author index.

Print version record and CIP data provided by publisher.

This authoritative handbook illustrates practical implementation of simulation techniques in the banking and financial industries through use of real-world, time-sensitive applications. Striking a balance between theory and practice, it demonstrates how simulation algorithms can be used to solve practical problems and showcases how accuracy and efficiency in implementing various simulation methods can be used as indispensable tools in risk management. It also covers topics such as volatility, fixed-income derivatives, LIBOR Market Models, risk measures, and includes over two-dozen recognized s.

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