Mathematics and Statistics for Financial Risk Management, Second Edition

  • 4h 46m
  • Michael B. Miller
  • John Wiley & Sons (US)
  • 2014

Mathematics and Statistics for Financial Risk Management is a practical guide to modern financial risk management for both practitioners and academics.

Now in its second edition with more topics, more sample problems and more real world examples, this popular guide to financial risk management introduces readers to practical quantitative techniques for analyzing and managing financial risk.

In a concise and easy-to-read style, each chapter introduces a different topic in mathematics or statistics. As different techniques are introduced, sample problems and application sections demonstrate how these techniques can be applied to actual risk management problems. Exercises at the end of each chapter and the accompanying solutions at the end of the book allow readers to practice the techniques they are learning and monitor their progress. A companion Web site includes interactive Excel spreadsheet examples and templates.

Mathematics and Statistics for Financial Risk Management is an indispensable reference for today’s financial risk professional.

About the Author

Michael B. Miller studied economics at the American University of Paris and the University of Oxford before starting a career in finance. He is currently the CEO of Northstar Risk Corp. Before that, he was the Chief Risk Officer of Tremblant Capital Group, and prior to that, Head of Quantitative Risk Management at Fortress Investment Group. Mr. Miller is also a certified FRM and an adjunct professor at Rutgers Business School.

In this Book

  • What's New in the Second Edition
  • Some Basic Math
  • Probabilities
  • Basic Statistics
  • Distributions
  • Multivariate Distributions and Copulas
  • Bayesian Analysis
  • Hypothesis Testing and Confidence Intervals
  • Matrix Algebra
  • Vector Spaces
  • Linear Regression Analysis
  • Time Series Models
  • Decay Factors
  • Answers
  • References