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Mathematics and statistics for financial risk management / (Record no. 11834)

000 -LEADER
fixed length control field 07644cam a2200925Ia 4500
001 - CONTROL NUMBER
control field ocn785777914
003 - CONTROL NUMBER IDENTIFIER
control field OCoLC
005 - DATE AND TIME OF LATEST TRANSACTION
control field 20171224113922.0
006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS--GENERAL INFORMATION
fixed length control field m o d
007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION
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008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION
fixed length control field 110923s2012 njua ob 001 0 eng d
040 ## - CATALOGING SOURCE
Original cataloging agency E7B
Language of cataloging eng
Description conventions pn
Transcribing agency E7B
Modifying agency OCLCQ
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-- 775301842
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020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 9781118227770
Qualifying information (electronic bk.)
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 1118227778
Qualifying information (electronic bk.)
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 9781118239766
Qualifying information (electronic bk.)
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 1118239768
Qualifying information (electronic bk.)
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 1280588969
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 9781280588969
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 9781118819616
Qualifying information (electronic bk.)
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 1118819616
Qualifying information (electronic bk.)
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 1306207916
Qualifying information (ebk)
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 9781306207911
Qualifying information (ebk)
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
Cancelled/invalid ISBN 1118170628
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
Cancelled/invalid ISBN 9781118170625
024 8# - OTHER STANDARD IDENTIFIER
Standard number or code 9786613618795
028 01 - PUBLISHER NUMBER
Publisher number EB00088118
Source Recorded Books
029 1# - (OCLC)
OCLC library identifier AU@
System control number 000049162940
029 1# - (OCLC)
OCLC library identifier DEBBG
System control number BV040783374
029 1# - (OCLC)
OCLC library identifier DEBBG
System control number BV041052642
029 1# - (OCLC)
OCLC library identifier DEBBG
System control number BV041877600
029 1# - (OCLC)
OCLC library identifier DEBBG
System control number BV041906623
029 1# - (OCLC)
OCLC library identifier DEBSZ
System control number 397179340
029 1# - (OCLC)
OCLC library identifier DEBSZ
System control number 449273024
029 1# - (OCLC)
OCLC library identifier DKDLA
System control number 820120-katalog:000600713
029 1# - (OCLC)
OCLC library identifier GBVCP
System control number 790211475
029 1# - (OCLC)
OCLC library identifier NZ1
System control number 14976214
029 1# - (OCLC)
OCLC library identifier NZ1
System control number 15626332
035 ## - SYSTEM CONTROL NUMBER
System control number (OCoLC)785777914
Canceled/invalid control number (OCoLC)775301842
-- (OCoLC)794619827
-- (OCoLC)806224169
-- (OCoLC)817082009
-- (OCoLC)865020900
-- (OCoLC)865653080
-- (OCoLC)922975968
037 ## - SOURCE OF ACQUISITION
Stock number 361879
Source of stock number/acquisition MIL
050 #4 - LIBRARY OF CONGRESS CALL NUMBER
Classification number HD61
Item number .M537 2012eb
072 #7 - SUBJECT CATEGORY CODE
Subject category code BUS
Subject category code subdivision 027000
Source bisacsh
082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER
Classification number 332.01/5195
Edition number 23
084 ## - OTHER CLASSIFICATION NUMBER
Classification number BUS027000
Source of number bisacsh
049 ## - LOCAL HOLDINGS (OCLC)
Holding library MAIN
100 1# - MAIN ENTRY--PERSONAL NAME
Personal name Miller, Michael B.
Fuller form of name (Michael Bernard),
Dates associated with a name 1973-
245 10 - TITLE STATEMENT
Title Mathematics and statistics for financial risk management /
Statement of responsibility, etc Michael B. Miller.
260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT)
Place of publication, distribution, etc Hoboken, N.J. :
Name of publisher, distributor, etc Wiley,
Date of publication, distribution, etc 2012.
300 ## - PHYSICAL DESCRIPTION
Extent 1 online resource (xi, 281 pages) :
Other physical details illustrations.
336 ## -
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337 ## -
-- computer
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338 ## -
-- online resource
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490 1# - SERIES STATEMENT
Series statement Wiley finance
504 ## - BIBLIOGRAPHY, ETC. NOTE
Bibliography, etc Includes bibliographical references and index.
505 0# - FORMATTED CONTENTS NOTE
Formatted contents note Some basic math -- Probabilities -- Basic statistics -- Distribution -- Hypothesis testing & confidence intervals -- Matrix algebra -- Vector spaces -- Linear regression analysis -- Time series models -- Decay factors.
520 ## - SUMMARY, ETC.
Summary, etc "In chapter 1, there is a review three math topics -- logarithms, combinatorics, and geometric series - and one financial topic, discount factors. Emphasis will be given to the specific aspects of these topics that are most relevant to risk management. In chapter 2, the author explores the application of probabilities to risk management. There is also an introduction to basic terminology and notations that will be used throughout the rest of the book. In chapter 3, Miller teaches how to describe a collection of data in precise statistical terms. Many of the concepts will be familiar, but the notation and terminology might be new. This notation and terminology will be used throughout the rest of the book. In chapter 4, some of the most common probability distributions will be pointed out, followed by a chapter on two closely related topics, confidence intervals and hypothesis testing. For risk management, these are possibly the two most important concepts in statistics. Chapter 6 provides a basic introduction to linear regression models. At the end of the chapter, Miller explores two risk management applications, factor analysis and stress testing. The final chapter is on a class of estimators, which has become very popular in finance and risk management for analyzing historical data. These models hint at the limitations of the type of analysis that we have been explores in previous chapters. This book has a lot of charts and equations"--
-- Provided by publisher.
505 0# - FORMATTED CONTENTS NOTE
Formatted contents note Mathematics andStatistics for FinancialRisk Management; Contents; 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.
505 8# - FORMATTED CONTENTS NOTE
Formatted contents note Standardized VariablesCovariance; 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.
505 8# - FORMATTED CONTENTS NOTE
Formatted contents note CHAPTER 5 Hypothesis Testing & Confidence IntervalsThe 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.
505 8# - FORMATTED CONTENTS NOTE
Formatted contents note CHAPTER 8 Linear Regression AnalysisLinear 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.
505 8# - FORMATTED CONTENTS NOTE
Formatted contents note APPENDIX B Taylor ExpansionsAPPENDIX C Vector Spaces; APPENDIX D Greek Alphabet; APPENDIX E Common Abbreviations; Answers; References; About the Author; Index.
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Risk management
General subdivision Mathematical models.
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Risk management
General subdivision Statistical methods.
650 #4 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Reference & resource series.
650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element BUSINESS & ECONOMICS
General subdivision Finance.
Source of heading or term bisacsh
650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Business.
Source of heading or term fast
-- (OCoLC)fst00842262
655 #4 - INDEX TERM--GENRE/FORM
Genre/form data or focus term Electronic books.
776 08 - ADDITIONAL PHYSICAL FORM ENTRY
Display text Print version:
Main entry heading Miller, Michael B.
Title Mathematics and statistics for financial risk management.
Place, publisher, and date of publication Hoboken, N.J. : Wiley, 2012
Record control number (DLC) 2011039256
830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE
Uniform title Wiley finance series.
856 40 - ELECTRONIC LOCATION AND ACCESS
Uniform Resource Identifier http://onlinelibrary.wiley.com/book/10.1002/9781118819616
Public note Wiley Online Library
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