Quantitative Financial Risk Management: Applying Financial Models and Mathematic

Description: Quantitative Financial Risk Management by Michael B. Miller 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 FORMAT Hardcover LANGUAGE English CONDITION Brand New Back Cover 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 is a textbook designed to teach students about 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 students to think about the limits and appropriate use of financial risk models. Topics covered include: Value at risk Stress testing Credit risk Liquidity risk Factor analysis Expected shortfall Copulas Extreme value theory Risk model backtesting Risk attribution Bayesian analysis and much more... Flap Q uantitative Financial Risk Management is a practitioners textbook. Michael B. Miller draws on his own experience working in the financial industry and teaching to provide a book that is both rigorous and practical. Each chapter explores a particular topic in risk management along with various mathematical tools that can be used to understand that topic. In addition, each chapter includes a number of sample problems and end-of-chapter questions. Over the course of the book, students gain an appreciation for the challenges that risk managers face in modeling financial securities and portfolios. Author Biography 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 Professionals Research Fellowship Committee. Before starting his career in finance, Mr. Miller studied economics at the American University of Paris and the University of Oxford. Table of Contents Preface vii About the Author ix 1 Overview of Financial Risk Management 1 2 Market Risk: Standard Deviation 15 3 Market Risk: Value at Risk 51 4 Market Risk: Expected Shortfall, and Extreme ValueTheory 73 5 Market Risk: Portfolios and Correlation 91 6 Market Risk: Beyond Correlation 119 7 Market Risk: Risk Attribution 151 8 CreditRisk 167 9 Liquidity Risk 189 10 Bayesian Analysis 205 11 Behavioral Economics and Risk 231 Appendix A Maximum Likelihood Estimation 247 Appendix B Copulas 253 Answers to End-of-Chapter Questions 257 References 295 Index 297 Details ISBN111952220X Author Michael B. Miller Publisher John Wiley & Sons Inc Series Wiley Finance Year 2018 ISBN-10 111952220X ISBN-13 9781119522201 Format Hardcover Imprint John Wiley & Sons Inc Subtitle Applying Financial Models and Mathematical Techniques Place of Publication New York Country of Publication United States Pages 320 DEWEY 332 Short Title Quantitative Financial Risk Management Language English Textbook 1 UK Release Date 2018-12-28 NZ Release Date 2018-11-13 US Release Date 2018-12-28 Publication Date 2018-12-28 Audience Professional & Vocational AU Release Date 2018-11-04 We've got this At The Nile, if you're looking for it, we've got it. With fast shipping, low prices, friendly service and well over a million items - you're bound to find what you want, at a price you'll love! TheNile_Item_ID:118163294;

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