Quantitative Financial Risk Management

Quantitative Financial Risk Management

Michael B. Miller

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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 Managementintroduces 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 click to read more

Categories:
Business & Economics – Investing

Year:
2018

Publisher:
Wiley

Language:
english

Pages:
322

ISBN 10:
111952220X

ISBN 13:
9781119522201

Series:
Wiley Finance

File:
PDF, 3.61 MB