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Quantitative risk management exercises?

  1. Feb 29, 2012 #1
    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!
  2. jcsd
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