Mathematical Modeling and Statistical Methods for Risk Management Lecture Notes 2007

By addebook • Jun 28th, 2008 • Category: Mathematics •

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Mathematical Modeling and Statistical Methods for Risk Management Lecture Notes 2007

Mathematical Modeling and Statistical Methods for Risk Management Lecture Notes, 2007
By Henrik Hult, Filip Lindskog

Division of Applied Mathematics, Brown University, Providence, USA; and Department of Mathematics, KTH, Stockholm, Sweden

Number Of Pages: 108
Publication Date: 2007
Binding: pdf

Preface

These lecture notes aims at giving an introduction to Quantitative Risk Management. We will introduce statistical techniques used for deriving the profit-and-loss distribution for a portfolio of financial instruments and to compute risk measures associated with this distribution. The focus lies on the mathematical/ statistical modeling of market- and credit risk. Operational risk and the use of financial time series for risk modeling is not treated in these lecture notes. Financial institutions typically hold portfolios consisting on large number of financial instruments. A careful modeling of the dependence between these instruments is crucial for good risk management in these situations.

A large part of these lecture notes is therefore devoted to the issue of dependence modeling. The reader is assumed to have a mathematical/statistical knowledge corresponding to basic courses in linear algebra, analysis, statistics and an intermediate course in probability. The lecture notes are written with the aim of presenting the material in a fairly rigorous way without any use of measure theory.

The chapters 1-4 in these lecture notes are based on the book [12] which we strongly recommend. More material on the topics presented in remaining chapters can be found in [8] (chapters 5-7), [12] (chapters 8-12) and articles found in the list of references at the end of these lecture notes.

Henrik Hult and Filip Lindskog, 2007

http://mihd.net/4fm70i

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