Everything you need to know in order to manage risk effectively within your organization
You cannot afford to ignore the explosion in mathematical finance in your quest to remain competitive. This exciting branch of mathematics has very direct practical implications: when a new model is tested and implemented it can have an immediate impact on the financial environment.
With risk management top of the agenda for many organizations, this book is essential reading for getting to grips with the mathematical story behind the subject of financial risk management. It will take you on a journey―from the early ideas of risk quantification up to today’s sophisticated models and approaches to business risk management.
To help you investigate the most up-to-date, pioneering developments in modern risk management, the book presents statistical theories and shows you how to put statistical tools into action to investigate areas such as the design of mathematical models for financial volatility or calculating the value at risk for an investment portfolio.
Respected academic author Simon Hubbert is the youngest director of a financial engineering program in the U.K. He brings his industry experience to his practical approach to risk analysis
Captures the essential mathematical tools needed to explore many common risk management problems
Website with model simulations and source code enables you to put models of risk management into practice
Plunges into the world of high-risk finance and examines the crucial relationship between the risk and the potential reward of holding a portfolio of risky financial assets
This book is your one-stop-shop for effective risk management.
Editorial Reviews
From the Inside Flap
Essential mathematics for market risk management
Simon Hubbert
In finance the universally held view is that the more risk we take the more reward we stand to gain but, just as importantly, the greater the chance of loss. The role of the financial risk manager is to be aware of the presence of risk, to understand how it can damage a potential investment and, most of all, be able to reduce the exposure to it in order to avert a potential disaster.
Essential Mathematics for Market Risk Management provides readers with the mathematical tools for managing and controlling the major sources of risk in the financial markets. Unlike most books on investment risk management which tend to be either panoptic in their coverage or narrowly focused on advanced mathematical procedures, this book offers a thorough understanding of the basic mathematical concepts and procedures required to satisfy the two key criteria of financial risk management: to ensure a healthy return on investment for a tolerable amount of risk, and to insulate a portfolio against catastrophic market events.
To this end, Dr Simon Hubbert, has drawn from his previous experience in the financial industry to develop a format which clearly and methodically
Traces the evolution of quantitative risk management – from Markowitz’s landmark solution to the portfolio problem in the 1950s, to the emergence of Value at Risk (VaR) in the mid 1990s and its subsequent impact.
Provides the basic mathematical tools needed to understand and solve common risk management problems, including applied linear algebra, probability theory and mathematical optimization.
Introduces and explains the statistical theory, tools and techniques behind cutting-edge research into financial risk management taking place in professional and academic institutions globally.
Explores a range of advanced topics in quantitative risk management, including derivative pricing, non-linear Value at Risk, volatility modelling and extreme value theory.
By focusing on the key issues a typical financial risk manager faces on both a daily and longterm basis – from monitoring portfolio performance to modelling the volatility of specific assets – this book is essential reading for finance professionals and students who recognize the need to be conversant in modern quantitative methods for financial risk management.
From the Back Cover
Essential mathematics for market risk management
Simon Hubbert
In finance the universally held view is that the more risk we take the more reward we stand to gain but, just as importantly, the greater the chance of loss. The role of the financial risk manager is to be aware of the presence of risk, to understand how it can damage a potential investment and, most of all, be able to reduce the exposure to it in order to avert a potential disaster.
Essential Mathematics for Market Risk Management provides readers with the mathematical tools for managing and controlling the major sources of risk in the financial markets. Unlike most books on investment risk management which tend to be either panoptic in their coverage or narrowly focused on advanced mathematical procedures, this book offers a thorough understanding of the basic mathematical concepts and procedures required to satisfy the two key criteria of financial risk management: to ensure a healthy return on investment for a tolerable amount of risk, and to insulate a portfolio against catastrophic market events.
To this end, Dr Simon Hubbert, has drawn from his previous experience in the financial industry to develop a format which clearly and methodically
Traces the evolution of quantitative risk management – from Markowitz’s landmark solution to the portfolio problem in the 1950s, to the emergence of Value at Risk (VaR) in the mid 1990s and its subsequent impact.
Provides the basic mathematical tools needed to understand and solve common risk management problems, including applied linear algebra, probability theory and mathematical optimization.
Introduces and explains the statistical theory, tools and techniques behind cutting-edge research into financial risk management taking place in professional and academic institutions globally.
Explores a range of advanced topics in quantitative risk management, including derivative pricing, non-linear Value at Risk, volatility modelling and extreme value theory.
By focusing on the key issues a typical financial risk manager faces on both a daily and longterm basis – from monitoring portfolio performance to modelling the volatility of specific assets – this book is essential reading for finance professionals and students who recognize the need to be conversant in modern quantitative methods for financial risk management.
About the Author
About the author
DR SIMON HUBBERT is a lecturer in Mathematics and Mathematical Finance at Birkbeck College, University of London, where he is currently the programme director for the graduate diploma in Financial Engineering. He has taught masters level courses on Risk Management and Financial Mathematics for many years and also has valuable experience in the financial industry having engaged in consultation work with IBM global business services and as a risk analyst for the debt management office, a branch of HM Treasury.
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