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Mathematics and Statistics for Financial Risk Management by Michael B. Miller

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References

Allen, Linda, Jacob Boudoukh, and Anthony Saunders. 2004. Understanding Market, Credit, and Operational Risk: The Value at Risk Approach. Malden, MA: Blackwell Publishing.

Artzner, Philippe, Freddy Delbaen, Jean-Marc Eber, and David Heath. 1999. “Coherent Measures of Risk.” Mathematical Finance 9 (3): 203–228.

Campbell, John, Andrew Lo, and A. Craig MacKinlay. 1996. The Econometrics of Financial Markets. Princeton, NJ: Princeton University Press.

Gigerenzer, Gerd, and Adrian Edwards. 2003. “Simple Tools for Understanding Risks: From Innumeracy to Insight.” BMJ 327: 741–744.

Hendry, David. 1980. “Econometrics—Alchemy or Science?” Economica 47 (188): 387–406.

Hua, Philip and Paul Wilmott. 1997. “Crash Courses.” Risk, 10, June, 64–67.

Kritzman, Mark, Yuanzhen Li, Sebastien Page, and Roberto Rigobon. 2010. “Principal Components as a Measure of Systemic Risk.” MIT Sloan Research Paper No. 4785-10 (June 30).

Meucci, Attilio. 2009. “Managing Diversification.” Risk, 22, May, 74–79.

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