Mathematics and statistics for financial risk management / (Record no. 11834)
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| control field | ocn785777914 |
| 003 - CONTROL NUMBER IDENTIFIER | |
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| 005 - DATE AND TIME OF LATEST TRANSACTION | |
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| 006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS--GENERAL INFORMATION | |
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| 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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| 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@ |
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| OCLC library identifier | DKDLA |
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| 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 ## - | |
| -- | text |
| -- | txt |
| -- | rdacontent |
| 337 ## - | |
| -- | computer |
| -- | c |
| -- | rdamedia |
| 338 ## - | |
| -- | online resource |
| -- | cr |
| -- | rdacarrier |
| 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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