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Miller M.B. Quantitative Financial Risk Management

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Miller M.B. Quantitative Financial Risk Management
Wiley, 2018. — 323 p. — ISBN 111952220X.
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.
Preface
About the Author
Overview of Financial Risk Management
Market Risk: Standard Deviation
Market Risk: Value at Risk
Market Risk: Expected Shortfall, and Extreme Value Theory
Market Risk: Portfolios and Correlation
Market Risk: Beyond Correlation
Market Risk: Risk Attribution
Credit Risk
Liquidity Risk
Bayesian Analysis
Behavioral Economics and Risk
Appendix A Maximum Likelihood Estimation
Appendix B Copulas
Answers to End-of-Chapter Questions
Index
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