Quantitative Financial Risk Management

AvMichael B. Miller

Inbunden, Engelska, 2018

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Beskrivning

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

Produktinformation

Utgivningsdatum:2018-12-28
Mått:180 x 259 x 31 mm
Vikt:658 g
Format:Inbunden
Språk:Engelska
Serie:Wiley Finance
Antal sidor:320
Förlag:John Wiley & Sons Inc
ISBN:9781119522201

Utforska kategorier

Finansiering inom Ekonomi och Ledarskap

Mer om författaren

MICHAEL B. MILLER is the founder and CEO of Northstar Risk Corp. Before starting Northstar, Mr. Miller was Chief Risk Officer for Tremblant Capital and, before that, Head of Quantitative Risk Management at Fortress Investment Group. Mr. Miller is the author of Mathematics and Statistics for Financial Risk Management, now in its second edition, and, along with Emanuel Derman, The Volatility Smile. He is also an adjunct professor at Columbia University and the co-chair of the Global Association of Risk Professional’s Research Fellowship Committee. Before starting his career in finance, Mr. Miller studied economics at the American University of Paris and the University of Oxford.

Innehållsförteckning

Preface viiAbout the Author ix1 Overview of Financial Risk Management 12 Market Risk: Standard Deviation 153 Market Risk: Value at Risk 514 Market Risk: Expected Shortfall, and Extreme ValueTheory 735 Market Risk: Portfolios and Correlation 916 Market Risk: Beyond Correlation 1197 Market Risk: Risk Attribution 1518 CreditRisk 1679 Liquidity Risk 18910 Bayesian Analysis 20511 Behavioral Economics and Risk 231Appendix A Maximum Likelihood Estimation 247Appendix B Copulas 253Answers to End-of-Chapter Questions 257References 295Index 297