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A probability metrics approach to financial risk measures / (Record no. 62633)

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000 -LEADER
fixed length control field 10082cam a2200697Ka 4500
001 - CONTROL NUMBER
control field sulb-eb0030981
003 - CONTROL NUMBER IDENTIFIER
control field BD-SySUS
005 - DATE AND TIME OF LATEST TRANSACTION
control field 20170713221243.0
006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS
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 110609s2011 enka ob 001 0 eng d
040 ## - CATALOGING SOURCE
Original cataloging agency DG1
Language of cataloging eng
Description conventions pn
Transcribing agency DG1
Modifying agency OCLCQ
-- E7B
-- OCLCQ
-- CDX
-- OCLCQ
-- OCLCF
-- OCLCO
-- YDXCP
-- IDEBK
-- OTZ
-- OCLCQ
-- COO
-- OCLCQ
-- DG1
-- BD-SySUS
019 ## -
-- 773015535
-- 778621245
-- 817053169
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 9781444392715
Qualifying information (electronic bk.)
International Standard Book Number 1444392719
Qualifying information (electronic bk.)
International Standard Book Number 9781405183697
Qualifying information (hardback)
International Standard Book Number 1405183691
Qualifying information (hardback)
International Standard Book Number 1283407981
International Standard Book Number 9781283407984
International Standard Book Number 9781444392692
International Standard Book Number 1444392697
024 8# - OTHER STANDARD IDENTIFIER
Standard number or code 9786613407986
029 1# - OTHER SYSTEM CONTROL NUMBER (OCLC)
OCLC library identifier AU@
System control number 000047226163
OCLC library identifier AU@
System control number 000052896817
OCLC library identifier DEBBG
System control number BV041167586
OCLC library identifier NZ1
System control number 15915688
035 ## - SYSTEM CONTROL NUMBER
System control number (OCoLC)729731400
Canceled/invalid control number (OCoLC)773015535
-- (OCoLC)778621245
-- (OCoLC)817053169
037 ## - SOURCE OF ACQUISITION
Stock number 10.1002/9781444392715
Source of stock number/acquisition Wiley InterScience
Note http://www3.interscience.wiley.com
050 #4 - LIBRARY OF CONGRESS CALL NUMBER
Classification number HD61
Item number .R33 2011
072 #7 - SUBJECT CATEGORY CODE
Subject category code KC
Source bicssc
082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER
Classification number 332.01/5192
Edition number 22
049 ## - LOCAL HOLDINGS (OCLC)
Holding library MAIN
100 1# - MAIN ENTRY--PERSONAL NAME
Personal name Rachev, S. T.
Fuller form of name (Svetlozar Todorov)
245 12 - TITLE STATEMENT
Title A probability metrics approach to financial risk measures /
Statement of responsibility, etc. Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi, CFA.
260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT)
Place of publication, distribution, etc. Chichester, West Sussex, U.K. ;
-- Malden, MA :
Name of publisher, distributor, etc. Wiley-Blackwell,
Date of publication, distribution, etc. 2011.
300 ## - PHYSICAL DESCRIPTION
Extent 1 online resource (xvi, 375 pages) :
Other physical details illustrations
336 ## - CONTENT TYPE
Content type term text
Content type code txt
Source rdacontent
337 ## - MEDIA TYPE
Media type term computer
Media type code c
Source rdamedia
338 ## - CARRIER TYPE
Carrier type term online resource
Carrier type code cr
Source rdacarrier
505 0# - FORMATTED CONTENTS NOTE
Formatted contents note Front Matter -- Introduction -- Probability Distances and Metrics -- Choice under Uncertainty -- A Classification of Probability Distances -- Risk and Uncertainty -- Average Value-at-Risk -- Computing AVaR through Monte Carlo -- Stochastic Dominance Revisited -- Index.
520 ## - SUMMARY, ETC.
Summary, etc. "A Probability Metrics Approach to Financial Risk Measures relates the field of probability metrics and risk measures to one another and applies them to finance for the first time. Helps to answer the question: which risk measure is best for a given problem? Finds new relations between existing classes of risk measures. Describes applications in finance and extends them where possible. Presents the theory of probability metrics in a more accessible form which would be appropriate for non-specialists in the field. Applications include optimal portfolio choice, risk theory, and numerical methods in finance. Topics requiring more mathematical rigor and detail are included in technical appendices to chapters."--Provided by publisher.
Summary, etc. "Is the behavior of the stocks in our portfolio close to their behavior during the most recent crisis? How close is the strategy of hedge fund A to the strategy of hedge fund B? In which proportions do we invest in a given universe of stocks so that the resulting portfolio matches as much as possible the strategy of fund C? All of these questions are essential to finance and they have one feature in common: measuring distances between random quantities. Problems of this kind have been explored for many years in areas other than finance. In A Probability Metrics Approach to Financial Risk Measures, the field of probability metrics and risk measures are related to one another and applied to finance for the first time, revealing groundbreaking new classes of risk measures, finding new relations between existing classes of risk measures, and providing answers to the question of which risk measure is best for a given problem. Applications include optimal portfolio choice, risk theory, and numerical methods in finance"--Provided by publisher.
504 ## - BIBLIOGRAPHY, ETC. NOTE
Bibliography, etc Includes bibliographical references and index.
505 8# - FORMATTED CONTENTS NOTE
Formatted contents note Machine generated contents note: Chapter 1 Introduction. -- 1.1 Probability metrics. -- 1.2 Applications in finance. -- Chapter 2 Probability distances and metrics. -- 2.1 Introduction. -- 2.2 Some examples of probability metrics. -- 2.2.1 Engineer's metric. -- 2.2.2 Uniform (or Kolmogorov) metric. -- 2.2.3 Levy metric. -- 2.2.4 Kantorovich metric. -- 2.2.5 Lp-metrics between distribution functions. -- 2.2.6 Ky Fan metrics. -- 2.2.7 Lp-metric. -- 2.3 Distance and semidistance spaces. -- 2.4 Definitions of probability distances and metrics. -- 2.5 Summary. -- 2.6 Technical appendix. -- 2.6.1 Universally measurable separable metric spaces. -- 2.6.2 The equivalence of the notions of p. (semi- )distance on P2 and on X. -- Chapter 3 Choice under uncertainty. -- 3.1 Introduction. -- 3.2 Expected utility theory. -- 3.2.1 St. Petersburg Paradox. -- 3.2.2 The von Neumann-Morgenstern expected utility theory. -- 3.2.3 Types of utility functions. -- 3.3 Stochastic dominance. -- 3.3.1 First-order stochastic dominance. -- 3.3.2 Second-order stochastic dominance. -- 3.3.3 Rothschild-Stiglitz stochastic dominance. -- 3.3.4 Third-order stochastic dominance. -- 3.3.5 Efficient sets and the portfolio choice problem. -- 3.3.6 Return versus payoff. -- 3.4 Probability metrics and stochastic dominance. -- 3.5 Cumulative Prospect Theory. -- 3.6 Summary. -- 3.7 Technical appendix. -- 3.7.1 The axioms of choice. -- 3.7.2 Stochastic dominance relations of order n. -- 3.7.3 Return versus payoff and stochastic dominance. -- 3.7.4 Other stochastic dominance relations. -- Chapter 4 A classification of probability distances. -- 4.1 Introduction. -- 4.2 Primary distances and primary metrics. -- 4.3 Simple distances and metrics. -- 4.4 Compound distances and moment functions. -- 4.5 Ideal probability metrics. -- 4.5.1 Interpretation and examples of ideal probability metrics. -- 4.5.2 Conditions for boundedness of ideal probability metrics. -- 4.6 Summary. -- 4.7 Technical appendix. -- 4.7.1 Examples of primary distances. -- 4.7.2 Examples of simple distances. -- 4.7.3 Examples of compound distances. -- 4.7.4 Examples of moment functions. -- Chapter 5 Risk and uncertainty. -- 5.1 Introduction. -- 5.2 Measures of dispersion. -- 5.2.1 Standard deviation. -- 5.2.2 Mean absolute deviation. -- 5.2.3 Semi-standard deviation. -- 5.2.4 Axiomatic description. -- 5.2.5 Deviation measures. -- 5.3 Probability metrics and dispersion measures. -- 5.4 Measures of risk. -- 5.4.1 Value-at-risk. -- 5.4.2 Computing portfolio VaR in practice. -- 5.4.3 Back-testing of VaR. -- 5.4.4 Coherent risk measures. -- 5.5 Risk measures and dispersion measures. -- 5.6 Risk measures and stochastic orders. -- 5.7 Summary. -- 5.8 Technical appendix. -- 5.8.1 Convex risk measures. -- 5.8.2 Probability metrics and deviation measures. -- 5.8.3 Deviation measures and probability quasi-metrics. -- Chapter 6 Average value-at-risk. -- 6.1 Introduction. -- 6.2 Average value-at-risk. -- 6.2.1 AVaR for stable distributions. -- 6.3 AVaR estimation from a sample. -- 6.4 Computing portfolio AVaR in practice. -- 6.4.1 The multivariate normal assumption. -- 6.4.2 The Historical Method. -- 6.4.3 The Hybrid Method. -- 6.4.4 The Monte Carlo Method. -- 6.4.5 Kernel methods. -- 6.5 Back-testing of AVaR. -- 6.6 Spectral risk measures. -- 6.7 Risk measures and probability metrics. -- 6.8 Risk measures based on distortion functionals. -- 6.9 Summary. -- 6.10 Technical appendix. -- 6.10.1 Characteristics of conditional loss distributions. -- 6.10.2 Higher-order AVaR. -- 6.10.3 The minimization formula for AVaR. -- 6.10.4 ETL vs AVaR. -- 6.10.5 Kernel-based estimation of AVaR. -- 6.10.6 Remarks on spectral risk measures. -- Chapter 7 Computing AVaR through Monte Carlo. -- 7.1 Introduction. -- 7.2 An illustration of Monte Carlo variability. -- 7.3 Asymptotic distribution, classical conditions. -- 7.4 Rate of convergence to the normal distribution. -- 7.4.1 The effect of tail thickness. -- 7.4.2 The effect of tail truncation. -- 7.4.3 Infinite variance distributions. -- 7.5 Asymptotic distribution, heavy-tailed returns. -- 7.6 Rate of convergence, heavy-tailed returns. -- 7.6.1 Stable Paretian distributions. -- 7.6.2 Student's t distribution. -- 7.7 On the choice of a distributional model. -- 7.7.1 Tail behavior and return frequency. -- 7.7.2 Practical implications. -- 7.8 Summary. -- 7.9 Technical appendix. -- 7.9.1 Proof of the stable limit result. -- Chapter 8 Stochastic dominance revisited. -- 8.1 Introduction. -- 8.2 Metrization of preference relations. -- 8.3 The Hausdorff metric structure. -- 8.4 Examples. -- 8.4.1 The Levy quasi-semidistance and first-order stochastic dominance. -- 8.4.2 Higher order stochastic dominance. -- 8.4.3 The H-quasi-semidistance. -- 8.4.4 AVaR generated stochastic orders. -- 8.4.5 Compound quasi-semidistances. -- 8.5 Utility-type representations. -- 8.6 Almost stochastic orders and degree of violation. -- 8.7 Summary. -- 8.8 Technical appendix. -- 8.8.1 Preference relations and topology. -- 8.8.2 Quasi-semidistances and preference relations. -- 8.8.3 Construction of quasi-semidistances on classes of investors. -- 8.8.4 Investors with balanced views. -- 8.8.5 Structural classification of probability distances.
588 0# - SOURCE OF DESCRIPTION NOTE
Source of description note Print version record.
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Financial risk management.
Topical term or geographic name as entry element Probabilities.
Topical term or geographic name as entry element Financial risk management.
Source of heading or term fast
Authority record control number (OCoLC)fst01739657
Topical term or geographic name as entry element Probabilities.
Source of heading or term fast
Authority record control number (OCoLC)fst01077737
655 #4 - INDEX TERM--GENRE/FORM
Genre/form data or focus term Electronic books.
700 1# - ADDED ENTRY--PERSONAL NAME
Personal name Stoyanov, Stoyan V.
Personal name Fabozzi, Frank J.
710 2# - ADDED ENTRY--CORPORATE NAME
Corporate name or jurisdiction name as entry element Wiley InterScience (Online service)
776 08 - ADDITIONAL PHYSICAL FORM ENTRY
Relationship information Print version:
Main entry heading Rachev, S.T. (Svetlozar Todorov).
Title Probability metrics approach to financial risk measures.
Place, publisher, and date of publication Chichester, West Sussex, U.K. ; Malden, MA : Wiley-Blackwell, 2011
International Standard Book Number 9781405183697
Record control number (DLC) 2010040519
-- (OCoLC)630507815
856 40 - ELECTRONIC LOCATION AND ACCESS
Uniform Resource Identifier <a href="http://onlinelibrary.wiley.com/book/10.1002/9781444392715">http://onlinelibrary.wiley.com/book/10.1002/9781444392715</a>
Public note Wiley Online Library [Free Download only for SUST IP]
938 ## -
-- Coutts Information Services
-- COUT
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-- ebr10510528
-- Ingram Digital eBook Collection
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-- YANK
-- 3425117
994 ## -
-- 92
-- DG1

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