000			03516nam a2200205Ia 4500
003			NULRC
005			20250520103025.0
008			250520s9999 xx 000 0 und d
020			_a9781118170625
040			_cNULRC
050			_aHD 61 .M55 2012
100			_aMiller, Michael B. _eauthor
245		0	_aMathematics and statistics for financial risk management / _cMichael B. Miller
260			_aHoboken, New Jersey : _bJohn Wiley & Son, Inc., _cc2012
300			_axi, 291 pages ; _c24 cm.
505			_aPreface -- 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			_aMathematics 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			_aRISK MANAGEMENT
942			_2lcc _cBK
999			_c21599 _d21599