Essential mathematics for market risk management /
"Everything you need to know in order to manage risk effectively within your organizationYou cannot afford to ignore the explosion in mathematical finance in your quest to remain competitive. This exciting branch of mathematics has very direct practical implications: when a new model is tested...
| Autor principal: | |
|---|---|
| Formato: | Libro |
| Lenguaje: | Inglés |
| Publicado: |
Chichester, West Sussex, UK :
John Wiley & Sons,
2012.
|
| Edición: | 2nd ed. |
| Colección: | Wiley finance series
|
| Materias: | |
| Acceso en línea: | Contributor biographical information Publisher description Table of contents only |
| Aporte de: | Registro referencial: Solicitar el recurso aquí |
| LEADER | 04692cam a22005174a 4500 | ||
|---|---|---|---|
| 001 | 990000601390204151 | ||
| 005 | 20241030112613.0 | ||
| 008 | 110923s2012 enka b 001 0 eng | ||
| 010 | |a 2011039267 | ||
| 016 | 7 | |a 015955855 |2 Uk | |
| 019 | |a 809212963 | ||
| 020 | |a 9781119979524 | ||
| 020 | |a 1119979528 | ||
| 020 | |a 9781119953029 (ebk.) | ||
| 020 | |a 1119953022 (ebk.) | ||
| 020 | |a 9781119953012 (ebk.) | ||
| 020 | |a 1119953014 (ebk.) | ||
| 020 | |a 9781119953036 (ebk.) | ||
| 020 | |a 1119953030 (ebk.) | ||
| 035 | |a (OCoLC)000060139 | ||
| 035 | |a (udesa)000060139USA01 | ||
| 035 | |a (OCoLC)749857600 |z (OCoLC)809212963 | ||
| 035 | |a (OCoLC)990000601390204151 | ||
| 040 | |a DLC |b eng |c DLC |d YDX |d BTCTA |d YDXCP |d BWK |d BDX |d BWX |d IG# |d DEBBG |d UKMGB |d CDX |d U@S | ||
| 042 | |a pcc | ||
| 049 | |a U@SA | ||
| 050 | 0 | 0 | |a HD61 |b .H76 2012 |
| 082 | 0 | 0 | |a 658.15/50151 |2 23 |
| 100 | 1 | |a Hubbert, Simon. | |
| 245 | 1 | 0 | |a Essential mathematics for market risk management / |c Simon Hubbert. |
| 250 | |a 2nd ed. | ||
| 260 | |a Chichester, West Sussex, UK : |b John Wiley & Sons, |c 2012. | ||
| 300 | |a xiv, 335 p. : |b ill. ; |c 25 cm. | ||
| 490 | 1 | |a Wiley finance series | |
| 504 | |a Includes bibliographical references and index. | ||
| 505 | 0 | |a Preface -- 1 Introduction -- 2 Applied Linear Algebra for Risk Managers -- 3 Probability Theory for Risk Managers -- 4 Optimization Tools -- 5 Portfolio Theory I -- 6 Portfolio Theory II -- 7 The Capital Asset Pricing Model (CAPM) -- 8 Risk Factor Modelling -- 9 The Value at Risk Concept -- 10 Value at Risk under a Normal distribution -- 11 Advanced Probability Theory for Risk Managers -- 12 A Survey of Useful Distribution Functions -- 13 A Crash Course on Financial Derivatives -- 14 Non-linear Value at Risk -- 15 Time Series Analysis -- 16 Maximum Likelihood Estimation -- 17 The Delta Method for Statistical Estimates -- 18 Hypothesis Testing -- 19 Statistical Properties of Financial Losses -- 20 Modelling Volatility -- 21 Extreme Value Theory -- 22 Simulation Models -- 23 Alternative Approaches to VaR -- 24 Backtesting. | |
| 520 | |a "Everything you need to know in order to manage risk effectively within your organizationYou cannot afford to ignore the explosion in mathematical finance in your quest to remain competitive. This exciting branch of mathematics has very direct practical implications: when a new model is tested and implemented it can have an immediate impact on the financial environment.With risk management top of the agenda for many organizations, this book is essential reading for getting to grips with the mathematical story behind the subject of financial risk management. It will take you on a journey--from the early ideas of risk quantification up to today's sophisticated models and approaches to business risk management.To help you investigate the most up-to-date, pioneering developments in modern risk management, the book presents statistical theories and shows you how to put statistical tools into action to investigate areas such as the design of mathematical models for financial volatility or calculating the value at risk for an investment portfolio. Respected academic author Simon Hubbert is the youngest director of a financial engineering program in the U.K. He brings his industry experience to his practical approach to risk analysis Captures the essential mathematical tools needed to explore many common risk management problems Website with model simulations and source code enables you to put models of risk management into practice Plunges into the world of high-risk finance and examines the crucial relationship between the risk and the potential reward of holding a portfolio of risky financial assets This book is your one-stop-shop for effective risk management"-- |c Provided by publisher. | ||
| 520 | |a "The book is self-contained and takes the reader on a mathematical journey from the early ideas of risk quantification up to the sophisticated models and approaches of the present day, linking and highlighting the milestones along the way"-- |c Provided by publisher. | ||
| 650 | 0 | |a Risk management |x Mathematical models. | |
| 650 | 0 | |a Capital market |x Mathematical models. | |
| 650 | 7 | |a Administración de riesgos |x Modelos matemáticos. |2 UDESA | |
| 650 | 7 | |a Mercado de capitales |x Modelos matemáticos. |2 UDESA | |
| 830 | 0 | |a Wiley finance series | |
| 856 | 4 | 2 | |3 Contributor biographical information |u http://catdir.loc.gov/catdir/enhancements/fy1210/2011039267-b.html |
| 856 | 4 | 2 | |3 Publisher description |u http://catdir.loc.gov/catdir/enhancements/fy1210/2011039267-d.html |
| 856 | 4 | 1 | |3 Table of contents only |u http://catdir.loc.gov/catdir/enhancements/fy1210/2011039267-t.html |