Mathematics and Statistics for Financial Risk Management
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. At t...
Main Author:  

Format:  eBook 
Language:  English 
Published: 
John Wiley & Sons
2012

Edition:  1st edition 
Series:  Wiley finance

Subjects:  
Online Access:  
Collection:  O'Reilly  Collection details see MPG.ReNa 
Table of Contents:
 APPENDIX B Taylor ExpansionsAPPENDIX C Vector Spaces; APPENDIX D Greek Alphabet; APPENDIX E Common Abbreviations; Answers; References; About the Author; Index
 Includes bibliographical references and index
 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
 Some basic math
 Probabilities
 Basic statistics
 Distribution
 Hypothesis testing & confidence intervals
 Matrix algebra
 Vector spaces
 Linear regression analysis
 Time series models
 Decay factors
 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; ChiSquared Distribution; Student's t Distribution; FDistribution; Mixture Distributions; Problems
 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; DriftDiffusion; Autoregression; Variance and Autocorrelation; Stationarity; Moving Average; Continuous Models; Application: GARCH; Application: JumpDiffusion; Application: Interest Rate Models; Problems; CHAPTER 10 Decay Factors; Mean; Variance; Weighted Least Squares; Other Possibilities; Application: Hybrid VaR; Problems; APPENDIX A Binary Numbers
 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