- #1
llstelle
- 20
- 0
I have an upcoming written exam in a class on quantitative risk management (in the style of Quantitative Risk Management: Concepts, Techniques, and Tools by McNeil, Frey & Embrechts), covering concepts such as:
- risk factors and loss distributions (conditional and unconditional)
- mapping of risks, risk measurement (value-at-risk, expected shortfall, lower and upper partial moments, variance)
- Black-Scholes pricing and geometric Brownian motion
- time series
- linearized losses
- GARCH and ARMA processes...
The problem is... the homework has been strictly MATLAB programming so far and I don't know how I'll fare in a written test. Is there a good book with (let's say, more computational) exercises on any subset of the above that I can practise on before my written exam?
I'll appreciate any recommendation! Thanks!
- risk factors and loss distributions (conditional and unconditional)
- mapping of risks, risk measurement (value-at-risk, expected shortfall, lower and upper partial moments, variance)
- Black-Scholes pricing and geometric Brownian motion
- time series
- linearized losses
- GARCH and ARMA processes...
The problem is... the homework has been strictly MATLAB programming so far and I don't know how I'll fare in a written test. Is there a good book with (let's say, more computational) exercises on any subset of the above that I can practise on before my written exam?
I'll appreciate any recommendation! Thanks!