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Market Risk Analysis : (Record no. 6652)

000 -LEADER
fixed length control field 02895nam a22002412 b4500
003 - CONTROL NUMBER IDENTIFIER
control field OSt
005 - DATE AND TIME OF LATEST TRANSACTION
control field 20230610133429.0
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION
fixed length control field 071125e20090304njua s|||||||| 2|eng|d
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 9780470997888
International Standard Book Number 9780470997994
041 ## - Language
Language code of text/sound track or separate title eng
082 00 - DEWEY DECIMAL CLASSIFICATION NUMBER
Classification number 332.015195
Edition number 22
Item number A374
100 1# - MAIN ENTRY--PERSONAL NAME
9 (RLIN) 7006
Personal name Alexander, Carol.
245 10 - IMMEDIATE SOURCE OF ACQUISITION NOTE
Title Market Risk Analysis :
Statement of responsibility, etc Carol Alexander.
Remainder of title Value-at-risk models /
260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT)
Place of publication, distribution, etc Hoboken, N.J :
Name of publisher, distributor, etc Wiley,
Date of publication, distribution, etc 2009
300 ## - PHYSICAL DESCRIPTION
Extent xlii, 492 p.
Other physical details ill. +
Accompanying material 2 CD-ROM.
440 #0 - SERIES STATEMENT/ADDED ENTRY--TITLE
9 (RLIN) 24025
Title Market risk analysis ;
Volume number/sequential designation 4
506 ## - RESTRICTIONS ON ACCESS NOTE
Terms governing access Access restricted to BGSU students, faculty and staff.
520 8# - SUMMARY, ETC.
Summary, etc Annotation
Expansion of summary note Written by leading market risk academic, Professor Carol Alexander, Value–at–Risk Models forms part four of the Market Risk Analysis four volume set. Building on the three previous volumes this book provides by far the most comprehensive, rigorous and detailed treatment of market VaR models. It rests on the basic knowledge of financial mathematics and statistics gained from Volume I, of factor models, principal component analysis, statistical models of volatility and correlation and copulas from Volume II and, from Volume III, knowledge of pricing and hedging financial instruments and of mapping portfolios of similar instruments to risk factors. A unifying characteristic of the series is the pedagogical approach to practical examples that are relevant to market risk analysis in practice.

All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD–ROM . Empirical examples and case studies specific to this volume include:

  • Parametric linear value at risk (VaR)models: normal, Student t and normal mixture and their expected tail loss (ETL);
  • New formulae for VaR based on autocorrelated returns;
  • Historical simulation VaR models: how to scale historical VaR and volatility adjusted historical VaR;
  • Monte Carlo simulation VaR models based on multivariate normal and Student t distributions, and based on copulas;
  • Examples and case studies of numerous applications to interest rate sensitive, equity, commodity and international portfolios;
  • Decomposition of systematic VaR of large portfolios into standard alone and marginal VaR components;
  • Backtesting and the assessment of risk model risk;
  • Hypothetical factor push and historical stress tests, and stress testing based on VaR and ETL.
521 ## - TARGET AUDIENCE NOTE
Target audience note Trade
Source John Wiley & Sons, Incorporated.
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM
9 (RLIN) 256
Topical term or geographic name as entry element Risk management
942 ## - ADDED ENTRY ELEMENTS (KOHA)
Source of classification or shelving scheme
Item type Book
Copies
Price effective from Permanent location Date last seen Not for loan Date acquired Source of classification or shelving scheme Koha item type Lost status Cost, normal purchase price Withdrawn status Source of acquisition Materials specified (bound volume or other part) Cost, replacement price Damaged status Barcode Current location Public note Full call number
2012-06-21AUM Main Library2013-05-16 2013-05-16 Book 71.00 Jordan Book Centrev.449.70 AUM-001484AUM Main LibraryJBC/2012/6152332.015195 A374
2012-06-21AUM Main Library2013-06-18 2013-06-18 Book 51.48 Jordan Book Centrev.436.03 AUM-001485AUM Main LibraryJBC/2012/6152332.015195 A374
Languages: 
English |
العربية