Quantitative Financial Risk Management

ISBN-13: 9781119522201 / Angielski / Twarda / 2018 / 320 str.

Michael B. Miller

Spis treści

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

O autorze

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.