Computer Simulation In Financial Risk Management
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Computer Simulation In Financial Risk Management
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Author : Roy Nersesian
language : en
Publisher: Praeger
Release Date : 1991-04-30
Computer Simulation In Financial Risk Management written by Roy Nersesian and has been published by Praeger this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991-04-30 with Business & Economics categories.
Computer programs that simulate complex processes in the real world can provide a quantitative tool for determining how much debt can be added safely to a company's capital structure. The increasing number of bankruptcies and defaults in today's international business arena result from debt overload and point to major shortcomings in the conventional financial evaluation process. In this book, Roy L. Nersesian describes why current methods of risk management fail and how computer simulation can be employed to determine the safe level of debt more accurately. Because the decision to add debt to an organization requires favorable, and essentially independent, decisions from both the borrower and lender, it is necessary to quantify both perspectives. Through actual examples readers will learn how to do this and to translate an actual business situation into a simulation model or program. Current evaluation systems, according to Nersesian, fail to incorporate the cyclical nature of business activity. They result all too often in an overly optimistic projection of cash flow. Simulation techniques are better able to incorporate the transience of good times and put quantitative analysis of risk on par with quantitative analysis of reward. Simulation techniques also reduce the role of speculative, and highly subjective, judgment. For example, decisionmakers who are not familiar personally with a particular business area, assign more risk to that area than those who are. A quantified risk management system enables executives to rank projects by the degree of risk much as they currently rank them by degree of profitability. The book presents the concept of simulation in terms that can be understood by generalists in corporations and financial institutions. At the same time, it provides computer programmers with an understanding of risk management principles. It will provide a valuable resource for: financial executives, planners and strategists in corporate and governmental organizations; bank lending officers; and computer programmers working with these organizations.
Handbook Of Financial Risk Management
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Author : Ngai Hang Chan
language : en
Publisher: John Wiley & Sons
Release Date : 2013-06-17
Handbook Of Financial Risk Management written by Ngai Hang Chan and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-06-17 with Business & Economics categories.
An authoritative handbook on risk management techniques and simulations as applied to financial engineering topics, theories, and statistical methodologies The Handbook of Financial Risk Management: Simulations and Case Studies illustrates the practical implementation of simulation techniques in the banking and financial industries through the use of real-world applications. Striking a balance between theory and practice, the Handbook of Financial Risk Management: Simulations and Case Studies demonstrates how simulation algorithms can be used to solve practical problems and showcases how accuracy and efficiency in implementing various simulation methods are indispensable tools in risk management. The book provides the reader with an intuitive understanding of financial risk management and deepens insight into those financial products that cannot be priced traditionally. The Handbook of Financial Risk Management also features: Examples in each chapter derived from consulting projects, current research, and course instruction Topics such as volatility, fixed-income derivatives, LIBOR Market Models, and risk measures Over twenty-four recognized simulation models Commentary, data sets, and computer subroutines available on a chapter-by-chapter basis As a complete reference for practitioners, the book is useful in the fields of finance, business, applied statistics, econometrics, and engineering. The Handbook of Financial Risk Management is also an excellent text or supplement for graduate and MBA-level students in courses on financial risk management and simulation.
Corporate Financial Risk Management
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Author : Roy Nersesian
language : en
Publisher: Bloomsbury Publishing USA
Release Date : 2004-02-28
Corporate Financial Risk Management written by Roy Nersesian and has been published by Bloomsbury Publishing USA this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-02-28 with Business & Economics categories.
What if you could understand financial risk management without immersing yourself in high-level mathematics? In this straightforward, readable guide—which requires only a working familiarity with financial spreadsheets—Nersesian explains what financial risk management is, describes its various forms, and shows how to anticipate and cope with it. Nersesian's approach is truly new. He combines cost/benefit analysis with probability distributions, so you can easily grasp the concepts and mechanics of financial risk reduction, and his examples are expressed in familiar business terminology. His illustrations, built on the widespread and popular Excel spreadsheet, are equally familiar or easily grasped by computer-friendly novices. As a result, Nersesian shows that risk management can be appreciated and dealt with by people with no access to risk management specialists, or specialists whose jargon and analytic methods are seldom understood by anyone but themselves.
Simulation Techniques In Financial Risk Management
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Author : Ngai Hang Chan
language : en
Publisher: John Wiley & Sons
Release Date : 2015-05-04
Simulation Techniques In Financial Risk Management written by Ngai Hang Chan and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-05-04 with Mathematics categories.
Praise for the First Edition “…a nice, self-contained introduction to simulation and computational techniques in finance…” – Mathematical Reviews Simulation Techniques in Financial Risk Management, Second Edition takes a unique approach to the field of simulations by focusing on techniques necessary in the fields of finance and risk management. Thoroughly updated, the new edition expands on several key topics in these areas and presents many of the recent innovations in simulations and risk management, such as advanced option pricing models beyond the Black–Scholes paradigm, interest rate models, MCMC methods including stochastic volatility models simulations, model assets and model-free properties, jump diffusion, and state space modeling. The Second Edition also features: Updates to primary software used throughout the book, Microsoft Office® Excel® VBA New topical coverage on multiple assets, model-free properties, and related models More than 300 exercises at the end of each chapter, with select answers in the appendix, to help readers apply new concepts and test their understanding Extensive use of examples to illustrate how to use simulation techniques in risk management Practical case studies, such as the pricing of exotic options; simulations of Greeks in hedging; and the use of Bayesian ideas to assess the impact of jumps, so readers can reproduce the results of the studies A related website with additional solutions to problems within the book as well as Excel VBA and S-Plus computer code for many of the examples within the book Simulation Techniques in Financial Risk Management, Second Edition is an invaluable resource for risk managers in the financial and actuarial industries as well as a useful reference for readers interested in learning how to better gauge risk and make more informed decisions. The book is also ideal for upper-undergraduate and graduate-level courses in simulation and risk management.
Simulation In Computational Finance And Economics Tools And Emerging Applications
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Author : Alexandrova-Kabadjova, Biliana
language : en
Publisher: IGI Global
Release Date : 2012-08-31
Simulation In Computational Finance And Economics Tools And Emerging Applications written by Alexandrova-Kabadjova, Biliana and has been published by IGI Global this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-08-31 with Business & Economics categories.
Simulation has become a tool difficult to substitute in many scientific areas like manufacturing, medicine, telecommunications, games, etc. Finance is one of such areas where simulation is a commonly used tool; for example, we can find Monte Carlo simulation in many financial applications like market risk analysis, portfolio optimization, credit risk related applications, etc. Simulation in Computational Finance and Economics: Tools and Emerging Applications presents a thorough collection of works, covering several rich and highly productive areas of research including Risk Management, Agent-Based Simulation, and Payment Methods and Systems, topics that have found new motivations after the strong recession experienced in the last few years. Despite the fact that simulation is widely accepted as a prominent tool, dealing with a simulation-based project requires specific management abilities of the researchers. Economic researchers will find an excellent reference to introduce them to the computational simulation models. The works presented in this book can be used as an inspiration for economic researchers interested in creating their own computational models in their respective fields.
Portfolio Risk Management
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Author : Gregory B. Getts
language : en
Publisher: Addison Wesley Publishing Company
Release Date : 1989
Portfolio Risk Management written by Gregory B. Getts and has been published by Addison Wesley Publishing Company this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with Business & Economics categories.
Modeling Financial Markets
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Author : Benjamin Van Vliet
language : en
Publisher: McGraw Hill Professional
Release Date : 2004-01-22
Modeling Financial Markets written by Benjamin Van Vliet and has been published by McGraw Hill Professional this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-01-22 with Business & Economics categories.
Limitations in today's software packages for financial modeling system development can threaten the viability of any system--not to mention the firm using that system. Modeling Financial Markets is the first book to take financial professionals beyond those limitations to introduce safer, more sophisticated modeling methods. It contains dozens of techniques for financial modeling in code that minimize or avoid current software deficiencies, and addresses the crucial crossover stage in which prototypes are converted to fully coded models.
Modeling Financial Markets
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Author : Benjamin Van Vliet
language : en
Publisher: McGraw-Hill Companies
Release Date : 2004-01-01
Modeling Financial Markets written by Benjamin Van Vliet and has been published by McGraw-Hill Companies this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-01-01 with Business & Economics categories.
Limitations in today's software packages for financial modeling system development can threaten the viability of any system--not to mention the firm using that system. Modeling Financial Markets is the first book to take financial professionals beyond those limitations to introduce safer, more sophisticated modeling methods. It contains dozens of techniques for financial modeling in code that minimize or avoid current software deficiencies, and addresses the crucial crossover stage in which prototypes are converted to fully coded models.
Robust Simulation For Mega Risks
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Author : Craig E. Taylor
language : en
Publisher: Springer
Release Date : 2015-11-11
Robust Simulation For Mega Risks written by Craig E. Taylor and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-11-11 with Nature categories.
This book introduces a new way of analyzing, measuring and thinking about mega-risks, a “paradigm shift” that moves from single-solutions to multiple competitive solutions and strategies. “Robust simulation” is a statistical approach that demonstrates future risk through simulation of a suite of possible answers. To arrive at this point, the book systematically walks through the historical statistical methods for evaluating risks. The first chapters deal with three theories of probability and statistics that have been dominant in the 20th century, along with key mathematical issues and dilemmas. The book then introduces “robust simulation” which solves the problem of measuring the stability of simulated losses, incorporates outliers, and simulates future risk through a suite of possible answers and stochastic modeling of unknown variables. This book discusses various analytical methods for utilizing divergent solutions in making pragmatic financial and risk-mitigation decisions. The book emphasizes the importance of flexibility and attempts to demonstrate that alternative credible approaches are helpful and required in understanding a great many phenomena.
Computer Simulation In Financial Risk Management
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Author : Roy Nersesian
language : en
Publisher: Praeger
Release Date : 1991-04-30
Computer Simulation In Financial Risk Management written by Roy Nersesian and has been published by Praeger this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991-04-30 with Business & Economics categories.
Computer programs that simulate complex processes in the real world can provide a quantitative tool for determining how much debt can be added safely to a company's capital structure. The increasing number of bankruptcies and defaults in today's international business arena result from debt overload and point to major shortcomings in the conventional financial evaluation process. In this book, Roy L. Nersesian describes why current methods of risk management fail and how computer simulation can be employed to determine the safe level of debt more accurately. Because the decision to add debt to an organization requires favorable, and essentially independent, decisions from both the borrower and lender, it is necessary to quantify both perspectives. Through actual examples readers will learn how to do this and to translate an actual business situation into a simulation model or program. Current evaluation systems, according to Nersesian, fail to incorporate the cyclical nature of business activity. They result all too often in an overly optimistic projection of cash flow. Simulation techniques are better able to incorporate the transience of good times and put quantitative analysis of risk on par with quantitative analysis of reward. Simulation techniques also reduce the role of speculative, and highly subjective, judgment. For example, decisionmakers who are not familiar personally with a particular business area, assign more risk to that area than those who are. A quantified risk management system enables executives to rank projects by the degree of risk much as they currently rank them by degree of profitability. The book presents the concept of simulation in terms that can be understood by generalists in corporations and financial institutions. At the same time, it provides computer programmers with an understanding of risk management principles. It will provide a valuable resource for: financial executives, planners and strategists in corporate and governmental organizations; bank lending officers; and computer programmers working with these organizations.