Synopsis
A practical guide to modern financial risk management for both practitioners and academics
The recent financial crisis and its impact on the broader economy underscore the importance of financial risk management in today's world. At the same time, financial products and investment strategies are becoming increasingly complex. Today, it is more important than ever that risk managers possess a sound understanding of mathematics and statistics.
In a concise and easy-to-read style, each chapter of this book introduces a different topic in mathematics or statistics. As different techniques are introduced, sample problems and application sections demonstrate how these techniques can be applied to actual risk management problems. Exercises at the end of each chapter and the accompanying solutions at the end of the book allow readers to practice the techniques they are learning and monitor their progress. A companion website includes interactive Excel spreadsheet examples and templates.
- Covers basic statistical concepts from volatility and Bayes' Law to regression analysis and hypothesis testing
- Introduces risk models, including Value-at-Risk, factor analysis, Monte Carlo simulations, and stress testing
- Explains time series analysis, including interest rate, GARCH, and jump-diffusion models
- Explores bond pricing, portfolio credit risk, optimal hedging, and many other financial risk topics
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About the Author
Michael B. Miller studied economics at the American University of Paris and the University of Oxford before starting a career in finance. He has worked in risk management for more than ten years, most recently as the chief risk officer for a hedge fund in New York City.
From the Back Cover
Praise for Mathematics and Statistics for Financial Risk Management
"This is the best book to date on the basic mathematics needed for financial risk management: clear, comprehensive, and up to date. Extensive examples and problems make clear how these concepts are used in the world's top financial institutions. The book is perfect for self-study or classroom use." --Aaron Brown, author of Red-Blooded Risk, A World of Chance, and The Poker Face of Wall Street
"Risk managers have a need for relatively sophisticated mathematical tools in order to adequately describe and communicate the distributions of potential outcomes that they focus on every day. Michael Miller has provided a very nice, self-contained, practical introduction to the mathematics and statistics required for understanding the basic concepts of risk management." --Bob Litterman, Partner, Kepos Capital, and Executive Editor, Financial Analysts Journal
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