Mathematics and statistics for financial risk management / (Record no. 21599)

MARC details
000 -LEADER
fixed length control field 03516nam a2200205Ia 4500
003 - CONTROL NUMBER IDENTIFIER
control field NULRC
005 - DATE AND TIME OF LATEST TRANSACTION
control field 20250520103025.0
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION
fixed length control field 250520s9999 xx 000 0 und d
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 9781118170625
040 ## - CATALOGING SOURCE
Transcribing agency NULRC
050 ## - LIBRARY OF CONGRESS CALL NUMBER
Classification number HD 61 .M55 2012
100 ## - MAIN ENTRY--PERSONAL NAME
Personal name Miller, Michael B.
Relator term author
245 #0 - TITLE STATEMENT
Title Mathematics and statistics for financial risk management /
Statement of responsibility, etc. Michael B. Miller
260 ## - PUBLICATION, DISTRIBUTION, ETC.
Place of publication, distribution, etc. Hoboken, New Jersey :
Name of publisher, distributor, etc. John Wiley & Son, Inc.,
Date of publication, distribution, etc. c2012
300 ## - PHYSICAL DESCRIPTION
Extent xi, 291 pages ;
Dimensions 24 cm.
505 ## - FORMATTED CONTENTS NOTE
Formatted contents note Preface -- Acknowledgments -- CHAPTER 1. Some Basic Math -- Logarithms -- Log Returns -- Compounding -- Limited Liability -- Graphing Log Returns -- Continuously Compounded Returns -- Combinatorics -- Discount Factors -- Geometric Series -- Problems -- CHAPTER 2 Probabilities -- Discrete Random Variables -- Continuous Random Variables -- Mutually Exclusive Events -- Independent Events -- Probability Matrices -- Conditional Probability -- Bayes' Theorem -- Problems -- CHAPTER 3. Basic Statistics -- Averages -- Expectations -- Variance and Standard Deviation -- Standardized Variables -- Covariance -- Correlation -- Application: Portfolio Variance and Hedging -- Moments -- Skewness -- Kurtosis -- Coskewness and Cokurtosis -- Best Linear Unbiased Estimator (BLUE) -- Problems -- CHAPTER 4 Distributions -- Parametric Distributions -- Uniform Distribution -- Bernoulli Distribution -- Binomial Distribution -- Poisson Distribution -- Normal Distribution -- Lognormal Distribution -- Central Limit Theorem -- Application: Monte Carlo Simulations Part I: Creating Normal Random Variables -- Chi-Squared Distribution -- Student's t Distribution -- F -Distribution -- Mixture Distributions -- Problems -- CHAPTER 5 Hypothesis Testing & Confidence Intervals -- The Sample Mean Revisited -- Sample Variance Revisited -- Confidence Intervals -- Hypothesis Testing -- Chebyshev's Inequality -- Application: VaR -- Problems -- CHAPTER 6 Matrix Algebra -- Matrix Notation -- Matrix Operations -- Application: Transition Matrices -- Application: Monte Carlo Simulations Part II: Cholesky Decomposition -- Problems -- CHAPTER 7 Vector Spaces -- Vectors Revisited -- Orthogonality -- Rotation -- Principal Component Analysis -- Application: The Dynamic Term Structure of Interest Rates -- Application: The Structure of Global Equity Markets -- Problems -- CHAPTER 8 Linear Regression Analysis -- Linear Regression (One Regressor) -- Linear Regression (Multivariate) -- Application: Factor Analysis -- Application: Stress Testing -- Problems -- CHAPTER 9 Time Series Models -- Random Walks -- Drift-Diffusion -- Autoregression -- Variance and Autocorrelation -- Stationarity -- Moving Average -- Continuous Models -- Application: GARCH -- Application: Jump-Diffusion -- Application: Interest Rate Models -- Problems -- CHAPTER 10 Decay Factors -- Mean -- Variance -- Weighted Least Squares -- Other Possibilities -- Application: Hybrid VaR -- Problems -- APPENDIX A Binary Numbers -- APPENDIX B Taylor Expansions -- APPENDIX C Vector Spaces -- APPENDIX D Greek Alphabet -- APPENDIX E Common Abbreviations -- Answers -- References -- About the Author -- Index.
520 ## - SUMMARY, ETC.
Summary, etc. Mathematics and Statistics for Financial Risk Management is a practical guide to modern financial risk management for both practitioners and academics. The recent financial crisis and its impact on the broader economy underscore the importance of financial risk management in today's world.
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name entry element RISK MANAGEMENT
942 ## - ADDED ENTRY ELEMENTS (KOHA)
Source of classification or shelving scheme Library of Congress Classification
Koha item type Books
Holdings
Withdrawn status Lost status Source of classification or shelving scheme Damaged status Not for loan Collection Home library Current library Shelving location Date acquired Source of acquisition Total checkouts Full call number Barcode Date last seen Copy number Price effective from Koha item type
    Library of Congress Classification     Gen. Ed. - CBA LRC - Annex II National University - Manila General Circulation 11/25/2023 Donation   GC HD 61 .M55 2012 NULIB000019358 05/20/2025 c.1 05/20/2025 Books