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Quantitative Financial Risk Management Michael B. Miller (American University of Paris University of Oxford)

Quantitative Financial Risk Management By Michael B. Miller (American University of Paris University of Oxford)

Quantitative Financial Risk Management by Michael B. Miller (American University of Paris University of Oxford)

Reviews:
Condition - Very Good
Out of stock
Very Good

Quantitative Financial Risk Management Summary

Quantitative Financial Risk Management by Michael B. Miller (American University of Paris University of Oxford)

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

About Michael B. Miller (American University of Paris University of Oxford)

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.

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

Additional information

CIN111952220XVG
9781119522201
111952220X
Quantitative Financial Risk Management by Michael B. Miller (American University of Paris University of Oxford)
Michael B. Miller (American University of Paris University of Oxford)
Wiley Finance
Used - Very Good
Hardback
John Wiley & Sons Inc
20181228
320
N/A
Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
This is a used book - there is no escaping the fact it has been read by someone else and it will show signs of wear and previous use. Overall we expect it to be in very good condition, but if you are not entirely satisfied please get in touch with us

Customer Reviews - Quantitative Financial Risk Management