Cantitate/Preț
Produs

Financial Risk Analytics

Autor Nicolas Privault
en Limba Engleză Paperback – feb 2028
Based on graduate-level courses at Nanyang Technological University in Singapore, this engaging textbook presents mathematical tools used for financial risk modeling and related analytics. Organized into three parts, the book begins with stochastic modeling. Part II focuses on classical risk measures, and Part III presents more advanced concepts in credit risk. Designed to be largely self-contained, the text assumes only a basic knowledge of undergraduate probability and statistics. Detailed proofs and derivations encourage a thorough understanding. Statistical concepts are illustrated with statistical experiments using actual data, helping students to bridge the gap between theory and practice. All code examples are presented in both Python and R. The code is available within the text and as an online supplement, alongside the complete exercise solutions. This serves as a core text for financial risk management courses within BSc and MSc programs in risk analytics, financial mathematics, actuarial science, and data analytics.
Citește tot Restrânge

Preț: 42272 lei

Nou

Puncte Express: 634

Carte nepublicată încă

Doresc să fiu notificat când acest titlu va fi disponibil:

Specificații

ISBN-13: 9781009672993
ISBN-10: 1009672991
Pagini: 420
Editura: Cambridge University Press

Notă biografică

Nicolas Privault is Professor in the School of Physical and Mathematical Sciences, Nanyang Technological University, Singapore. His research interests span stochastic analysis and its applications. He is the author of books including Understanding Markov Chains: Examples and Applications (3rd edition, 2026).

Cuprins

List of illustrations; Part I. Stochastic Modeling: 1. Modeling Market Returns; 2. Time Series; 3. Processes with Jumps; 4. Correlation and Dependence; Part II. Risk Measures: 5. Superhedging Risk Measure; 6. Value at Risk; 7. Expected Shortfall; Part III. Credit Risk: 8. Structural Approach; 9. Reduced-Form Approach; 10. Credit Derivatives; 11. Credit Scoring; Appendix A. Background on Probability Theory; References; Author index; Index.