Описание: Bringing these complex approaches to life by combining the technical details with actual real-life Python code reduces the burden of model complexity and enhances accessibility to this decidedly specialized field of study.
Описание: The risk of counterparty default in banking, insurance, institutional, and pension-fund portfolios is an area of ongoing and increasing importance for finance practitioners. It is, unfortunately, a topic with a high degree of technical complexity. Addressing this challenge, this book provides a comprehensive and attainable mathematical and statistical discussion of a broad range of existing default-risk models. Model description and derivation, however, is only part of the story. Through use of exhaustive practical examples and extensive code illustrations in the Python programming language, this work also explicitly shows the reader how these models are implemented. Bringing these complex approaches to life by combining the technical details with actual real-life Python code reduces the burden of model complexity and enhances accessibility to this decidedly specialized field of study. The entire work is also liberally supplemented with model-diagnostic, calibration, and parameter-estimation techniques to assist the quantitative analyst in day-to-day implementation as well as in mitigating model risk. Written by an active and experienced practitioner, it is an invaluable learning resource and reference text for financial-risk practitioners and an excellent source for advanced undergraduate and graduate students seeking to acquire knowledge of the key elements of this discipline.
Описание: This book describes a maximally simple market risk model that is still practical and main risk measures like the value-at-risk and the expected shortfall. It outlines the model's (i) underlying math, (ii) daily operation, and (iii) implementation, while stripping away statistical overhead to keep the concepts accessible. The author selects and weighs the various model features, motivating the choices under real-world constraints, and addresses the evermore important handling of regulatory requirements. The book targets not only practitioners new to the field but also experienced market risk operators by suggesting useful data analysis procedures and implementation details. It furthermore addresses market risk consumers such as managers, traders, and compliance officers by making the model behavior intuitively transparent.A very useful guide to the theoretical and practical aspects of implementing and operating a risk-monitoring system for a mid-size financial institution. It sets a common body of knowledge to facilitate communication between risk managers, computer and investment specialists by bridging their diverse backgrounds.Giovanni Barone-Adesi — Professor, Universit? della Svizzera italiana This unassuming and insightful book starts from the basics and plainly brings the reader up to speed on both theory and implementation.Shane Hegarty — Director Trade Floor Risk Management, Scotiabank Visit the book’s website at www.value-at-risk.com.
Автор: Auer Название: Hands-On Value-at-Risk and Expected Shortfall ISBN: 3319723197 ISBN-13(EAN): 9783319723198 Издательство: Springer Рейтинг: Цена: 7965.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book describes a maximally simple market risk model that is still practical and main risk measures like the value-at-risk and the expected shortfall.
Автор: Wai-Sum Chan, Yiu-Kuen Tse Название: Financial Mathematics for Actuaries: 3rd Edition ISBN: 9811245673 ISBN-13(EAN): 9789811245671 Издательство: World Scientific Publishing Рейтинг: Цена: 9828.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book provides a thorough understanding of the fundamental concepts of financial mathematics essential for the evaluation of any financial product and instrument. Mastering concepts of present and future values of streams of cash flows under different interest rate environments is core for actuaries and financial economists. This book covers the body of knowledge required by the Society of Actuaries (SOA) for its Financial Mathematics (FM) Exam.The third edition includes major changes such as an addition of an 'R Laboratory' section in each chapter, except for Chapter 9. These sections provide R codes to do various computations, which will facilitate students to apply conceptual knowledge. Additionally, key definitions have been revised and the theme structure has been altered. Students studying undergraduate courses on financial mathematics for actuaries will find this book useful. This book offers numerous examples and exercises, some of which are adapted from previous SOA FM Exams. It is also useful for students preparing for the actuarial professional exams through self-study.
Автор: Sandstr?m, Arne Название: Handbook of Solvency for Actuaries and Risk Managers ISBN: 1439821305 ISBN-13(EAN): 9781439821305 Издательство: Taylor&Francis Рейтинг: Цена: 33686.00 р. Наличие на складе: Нет в наличии.
Автор: Wai-Sum Chan, Yiu-Kuen Tse Название: Financial Mathematics for Actuaries: 3rd Edition ISBN: 9811243271 ISBN-13(EAN): 9789811243271 Издательство: World Scientific Publishing Рейтинг: Цена: 30140.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book provides a thorough understanding of the fundamental concepts of financial mathematics essential for the evaluation of any financial product and instrument. Mastering concepts of present and future values of streams of cash flows under different interest rate environments is core for actuaries and financial economists. This book covers the body of knowledge required by the Society of Actuaries (SOA) for its Financial Mathematics (FM) Exam.The third edition includes major changes such as an addition of an 'R Laboratory' section in each chapter, except for Chapter 9. These sections provide R codes to do various computations, which will facilitate students to apply conceptual knowledge. Additionally, key definitions have been revised and the theme structure has been altered. Students studying undergraduate courses on financial mathematics for actuaries will find this book useful. This book offers numerous examples and exercises, some of which are adapted from previous SOA FM Exams. It is also useful for students preparing for the actuarial professional exams through self-study.
Автор: Szabo, Fred Название: Actuaries` Survival Guide ISBN: 0123869439 ISBN-13(EAN): 9780123869432 Издательство: Elsevier Science Рейтинг: Цена: 5893.00 р. Наличие на складе: Поставка под заказ.
Описание: Explains what actuaries are, what they do, and where they do it. This title describes combinations of ideas, techniques, and skills involved in the day-to-day work of actuaries. It includes details on the structures of the Society of Actuaries` (SOA) and Casualty Actuarial Society (CAS) examinations, as well as sample questions and answers.
Автор: Denuit, Michel Hainaut, Donatien Trufin, Julien Название: Effective statistical learning methods for actuaries ii ISBN: 3030575551 ISBN-13(EAN): 9783030575557 Издательство: Springer Рейтинг: Цена: 6986.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book summarizes the state of the art in tree-based methods for insurance: regression trees, random forests and boosting methods.
Автор: Michel Denuit; Donatien Hainaut; Julien Trufin Название: Effective Statistical Learning Methods for Actuaries III ISBN: 3030258262 ISBN-13(EAN): 9783030258269 Издательство: Springer Рейтинг: Цена: 6986.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book reviews some of the most recent developments in neural networks, with a focus on applications in actuarial sciences and finance. It simultaneously introduces the relevant tools for developing and analyzing neural networks, in a style that is mathematically rigorous yet accessible.Artificial intelligence and neural networks offer a powerful alternative to statistical methods for analyzing data. Various topics are covered from feed-forward networks to deep learning, such as Bayesian learning, boosting methods and Long Short Term Memory models. All methods are applied to claims, mortality or time-series forecasting.Requiring only a basic knowledge of statistics, this book is written for masters students in the actuarial sciences and for actuaries wishing to update their skills in machine learning.This is the third of three volumes entitled Effective Statistical Learning Methods for Actuaries. Written by actuaries for actuaries, this series offers a comprehensive overview of insurance data analytics with applications to P&C, life and health insurance. Although closely related to the other two volumes, this volume can be read independently.
Автор: Natalia A. Humphreys, Yuly Koshevnik Название: Probability and Statistics for Actuaries ISBN: 1793514275 ISBN-13(EAN): 9781793514271 Издательство: Mare Nostrum (Eurospan) Рейтинг: Цена: 14164.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Probability and Statistics for Actuaries provides students with a structured and detailed explanation of the probabilistic and statistical aspects of actuarial science to help them formalize and deepen their knowledge in these areas.
The text is divided into two distinct parts with the first focusing on probability and the second focusing on statistics. Part I begins with a strategic review of probabilistic models and techniques. Additional chapters cover conditional probability, variance, and expectation with distinct emphasis of the Bayesian approach. Students learn about the Bayesian framework for credibility and the relationship between Bühlmann approximation and empirical Bayes. Part II begins with a review of statistical models and techniques and then proceeds with a robust chapter that discusses parametric statistical inference. The text includes two helpful appendices: a one-sample K-S table and a one-sample A-D table.
Designed to help students expand their knowledge, Probability and Statistics for Actuaries is an exceptional resource for courses within the actuarial sciences. It is also ideal for individuals preparing to take professional exams given by the Society of Actuaries and Casualty Actuarial Society.
Автор: Michel Denuit; Donatien Hainaut; Julien Trufin Название: Effective Statistical Learning Methods for Actuaries I ISBN: 303025819X ISBN-13(EAN): 9783030258191 Издательство: Springer Рейтинг: Цена: 6288.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book summarizes the state of the art in generalized linear models (GLMs) and their various extensions: GAMs, mixed models and credibility, and some nonlinear variants (GNMs). Going beyond mean modeling, it considers volatility modeling (double GLMs) and the general modeling of location, scale and shape parameters (GAMLSS).
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