Quantitative Financial Risk Management
- 5h 37m
- Michael B. Miller
- John Wiley & Sons (US)
- 2018
A mathematical guide to measuring and managing financial risk.
Our modern economy depends on financial markets. Yet financial markets continue to grow in size and complexity. As a result, the management of financial risk has never been more important.
Quantitative Financial Risk Management introduces students and risk professionals to financial risk management with an emphasis on financial models and mathematical techniques. Each chapter provides numerous sample problems and end of chapter questions. The book provides clear examples of how these models are used in practice and encourages readers to think about the limits and appropriate use of financial models.
Topics include:
- Value at risk
- Stress testing
- Credit risk
- Liquidity risk
- Factor analysis
- Expected shortfall
- Copulas
- Extreme value theory
- Risk model backtesting
- Bayesian analysis
- . . . and much more
About the Author
Michael B. Miller studied economics at the American University of Paris and the University of Oxford before starting a career in finance. He has worked in risk management for more than 15 years and is currently the CEO of Northstar Risk Corp.
In this Book
-
Overview of Financial Risk Management
-
Market Risk—Standard Deviation
-
MARKET RISK—VALUE AT RISK
-
Market Risk—Expected Shortfall, and Extreme Value Theory
-
Market Risk—Portfolios and Correlation
-
Market Risk—Beyond Correlation
-
Market Risk—Risk Attribution
-
Credit Risk
-
Liquidity Risk
-
Bayesian Analysis
-
Behavioral Economics and Risk
-
Answers to End-of-Chapter Questions
-
References
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