Risk Management and Simulation

Aparna Gupta

ISBN 10: 0367379880 / ISBN 13: 9780367379889

Editore: CRC Press, 2019

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nach der Bestellung gedruckt Neuware - Printed after ordering - The challenges of the financial environment have revealed the need for a new generation of professionals who combine training in traditional finance disciplines with an understanding of sophisticated quantitative and analytical tools. This book shows how simulation modeling and analysis can help you solve problems of risk management related to market, credit, operational, business, and strategic risk. Making simulation accessible, the author walks you through the concepts, models, and computational techniques. Topics covered include developing and validating models, designing simulation experiments, and conducting analysis.

Codice articolo 9780367379889

Dati bibliografici

• Titolo: Risk Management and Simulation
• Editore: CRC Press
• Data di pubblicazione: 2019
• Lingua: Inglese
• ISBN 10: 0367379880
• ISBN 13: 9780367379889
• Rilegatura: Taschenbuch
• Condizione: Neu
• Dimensioni: 234 L x 156 A x 28 P (millimetri) 234 millimetri di larghezza per 156 millimetri di altezza per 28 millimetri di profondità
• Peso: 793 grammi

Descrizione articolo

Riassunto

The challenges of the current financial environment have revealed the need for a new generation of professionals who combine training in traditional finance disciplines with an understanding of sophisticated quantitative and analytical tools. Risk Management and Simulation shows how simulation modeling and analysis can help you solve risk management problems related to market, credit, operational, business, and strategic risk. Simulation models and methodologies offer an effective way to address many of these problems and are easy for finance professionals to understand and use. Drawing on the author’s extensive teaching experience, this accessible book walks you through the concepts, models, and computational techniques.

How Simulation Models Can Help You Manage Risk More Effectively

Organized into four parts, the book begins with the concepts and framework for risk management. It then introduces the modeling and computational techniques for solving risk management problems, from model development, verification, and validation to designing simulation experiments and conducting appropriate output analysis. The third part of the book delves into specific issues of risk management in a range of risk types. These include market risk, equity risk, interest rate risk, commodity risk, currency risk, credit risk, liquidity risk, and strategic, business, and operational risks. The author also examines insurance as a mechanism for risk management and risk transfer. The final part of the book explores advanced concepts and techniques. The book contains extensive review questions and detailed quantitative or computational exercises in all chapters. Use of MATLAB® mathematical software is encouraged and suggestions for MATLAB functions are provided throughout.

Learn Step by Step, from Basic Concepts to More Complex Models

Packed with applied examples and exercises,

Informazioni sull?autore

Aparna Gupta is an associate professor of quantitative finance, director of the Financial Engineering and Risk Analytics Program, and co-director of the Center for Financial Studies in the Lally School of Management at Rensselaer Polytechnic Institute. She is also an associate professor of industrial and systems engineering in the School of Engineering. Her research interest is in addressing issues in risk management at the individual and the institutional levels. She conducts US National Science Foundation funded research in financial innovation for risk management. Dr. Gupta earned her doctorate from Stanford University and her B.Sc. and M.Sc. degrees in Mathematics from the Indian Institute of Technology, Kanpur.