I have an upcoming(adsbygoogle = window.adsbygoogle || []).push({}); writtenexam 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!

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# Quantitative risk management exercises?

Can you offer guidance or do you also need help?

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