Quantitative financial risk management / Michael B. Miller.

Format:

Book

Author/Creator:

Miller, Michael B. (Michael Bernard), 1973- author.

Series:

Wiley finance series.

Wiley finance series

Language:

English

Subjects (All):

Financial risk management.

Physical Description:

1 online resource (323 pages).

Place of Publication:

Hoboken, New Jersey : Wiley, [2019]

Summary:

"Our modern economy depends on financial markets. When financial markets work, they allow people to buy homes and save for retirement; they allow companies to provide the goods and services that we enjoy and depend on. When financial markets don't work, companies fail, people lose their homes, lose their savings, and lose their jobs. Yet financial markets continue to grow in size and complexity and the management of financial risk has never been more important. Quantitative Financial Risk Management is designed to teach students and risk professionals 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 readers to think about the limits and appropriate use of financial models"-- Provided by publisher.

Contents:

Overview of financial risk management

Market risk: standard deviation

Market risk: value at risk

Market risk: expected shortfall, extreme value theory, and stress testing

Market risk: portfolios and correlation

Market risk: beyond portfolio correlation

Market risk: risk attribution

Credit risk

Liquidity risk

Bayesian analysis

Behavioral economics and risk.

Notes:

Includes bibliographical references and index.

Description based on print version record.

ISBN:

9781119522263

1119522269

9781119522232

1119522234