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Quantitative Financial Risk Management
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 • 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
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 • 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
320 pages, Hardcover
Published November 13, 2018
4 people are currently reading
16 people want to read
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Displaying 1 of 1 review
December 6, 2018
The author wrote this book for students who had a strong foundation in math, but little experience in how the math is applied in risk management. He organized the chapters by application: measuring market risk, credit risk, and liquidity risk. Well written and easy to read, the book includes chapter problems and solutions that make it suitable for a risk management course. It will also serve as a good reference for the practitioner.
To be clear, this is a math text. The reader needs to be familiar with basic calculus, linear algebra, and statistics. Miller does a great job of explaining the core techniques in risk management. And I liked how he offers practical advice from his experience as a risk manager.
To be clear, this is a math text. The reader needs to be familiar with basic calculus, linear algebra, and statistics. Miller does a great job of explaining the core techniques in risk management. And I liked how he offers practical advice from his experience as a risk manager.
Displaying 1 of 1 review