Active Risk Management ― Financial Models and Statistical Methods

Following the recent financial crisis, risk management in financial institutions, particularly in banks, has attracted widespread attention and discussion. Novel modeling approaches and courses to educate future professionals in industry, government, and academia are of timely relevance. This book introduces an innovative concept and methodology developed by the authors: active risk management. It is suitable for graduate students in mathematical finance/financial engineering, economics, and statistics as well as for practitioners in the fields of finance and insurance. The book’s website features the data sets used in the examples along with various exercises.

Tze Leung Lai is a professor of statistics at Stanford University in California.

Haipeng Xing is an assistant professor of applied mathematics and statistics at the State University of New York, Stony Brook.