Quantitative Risk Management: A Practical Guide to Financial Risk
- 9h 58m
- Thomas S. Coleman
- John Wiley & Sons (US)
- 2012
All too often risk management books focus on risk measurement details without taking a broader view. Quantitative Risk Management delivers a synthesis of common sense management together with the cutting-edge tools of modern theory. This book presents a road map for tactical and strategic decision making designed to control risk and capitalize on opportunities. Most provocatively it challenges the conventional wisdom that "risk management" is or ever should be delegated to a separate department. Good managers have always known that managing risk is central to a financial firm and must be the responsibility of anyone who contributes to the profit of the firm.
A guide to risk management for financial firms and managers in the post-crisis world, Quantitative Risk Management updates the techniques and tools used to measure and monitor risk. These are often mathematical and specialized, but the ideas are simple. The book starts with how we think about risk and uncertainty, then turns to a practical explanation of how risk is measured in today's complex financial markets.
- Covers everything from risk measures, probability, and regulatory issues to portfolio risk analytics and reporting
- Includes interactive graphs and computer code for portfolio risk and analytics
- Explains why tactical and strategic decisions must be made at every level of the firm and portfolio
Providing the models, tools, and techniques firms need to build the best risk management practices, Quantitative Risk Management is an essential volume from an experienced manager and quantitative analyst.
About the Author
Thomas S. Coleman has worked in the finance industry for more than 20 years and has considerable experience in trading, risk management, and quantitative modeling. Mr. Coleman currently manages a risk advisory consulting firm. His previous positions have been head of quantitative analysis and risk control at Moore Capital Management, LLC (a large multi-asset hedge fund manager), and a director and founding member of Aequilibrium Investments Ltd., a London-based hedge fund manager. Mr. Coleman worked on the sell side for a number of years, with roles in fixed-income derivatives research and trading at TMG Financial Products, Lehman Brothers, and S. G. Warburg in London.
Before entering the financial industry, Mr. Coleman was an academic, teaching graduate and undergraduate economics and finance at the State University of New York at Stony Brook, and more recently he has taught as an adjunct faculty member at Fordham University Graduate School of Business Administration and Rensselaer Polytechnic Institute. Mr. Coleman earned his PhD in economics from the University of Chicago and his BA in physics from Harvard. He is the author, together with Roger Ibbotson and Larry Fisher, of Historical U.S. Treasury Yield Curves and continues to publish in various journals.
In this Book
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Foreword
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Risk Management versus Risk Measurement
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Risk, Uncertainty, Probability, and Luck
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Managing Risk
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Financial Risk Events
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Practical Risk Techniques
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Uses and Limitations of Quantitative Techniques
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Introduction to Quantitative Risk Measurement
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Risk and Summary Measures: Volatility and VaR
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Using Volatility and VaR
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Portfolio Risk Analytics and Reporting
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Credit Risk
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Liquidity and Operational Risk
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Conclusion
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About the Companion Web Site
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References
