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Statistical Analysis of Financial Data

In: Practical Methods of Financial Engineering and Risk Management

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  • Rupak Chatterjee

Abstract

Chapters 1 and 2 presented various financial instruments in the form of market data familiar to Wall Street traders—namely, Bloomberg screens. Chapter 3 lays the mathematical foundation for the valuation of financial instruments, which depends in the first place on an analysis of the likelihood of future events using the tools of statistics and probability. This chapter shows you how to perform a statistical analysis of a given financial instrument by first identifying a suitable probability distribution and then calibrating it appropriately. Finally, this chapter discusses Risk measures such as value at risk, conditional value at risk, and the term structure of statistics.

Suggested Citation

  • Rupak Chatterjee, 2014. "Statistical Analysis of Financial Data," Springer Books, in: Practical Methods of Financial Engineering and Risk Management, chapter 0, pages 65-141, Springer.
    • Handle: RePEc:spr:sprchp:978-1-4302-6134-6_3
    DOI: 10.1007/978-1-4302-6134-6_3
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