Select Page Know your risk. I am Professor Glyn Holton. My research field is the mathematics and foundations of risk. This website is about that research. If you are looking for something specific, it is likely one of these: My landmark paper Defining Risk ; My book on value-at-risk—the second edition is free online ; Exercise solutions for my book.
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Preface 0. That would have missed so much. What about different engine technologies? What about different construction materials?
What about so many other features, such as retractable landing gear, pressurized cabins, swept-back wings, fly-by-wire, etc.? They inevitably narrow discussion. By comparison, bottom-up explanations build a foundation for deep understanding and further research. I wrote this book to provide a flexible bottom-up explanation of value-at-risk. And I had a second goal for the book: I wanted it to be the first advanced text on value-at-risk, suitable for quantitative professionals.
The book has its origins in , when I first put pen to paper. It took six years to write the first edition, but it achieved my two goals. It described from the bottom up how to design scalable production value-at-risk measures for real trading organizations. Practical, detailed examples were drawn from markets around the world, such as Euro deposits, Pacific Basin equities, physical coffees, and North American natural gas. Real-world challenges relating to market data, portfolio mappings, multicollinearity, and intra-horizon events were addressed in detail.
Exercises reinforced concepts and walked readers step-by-step through sophisticated computations. For practitioners, researchers, and students, the first edition was an authoritative guide to implementing real-world value-at-risk measures.
Know your risk.
Preface 0. That would have missed so much. What about different engine technologies? What about different construction materials? What about so many other features, such as retractable landing gear, pressurized cabins, swept-back wings, fly-by-wire, etc.? They inevitably narrow discussion. By comparison, bottom-up explanations build a foundation for deep understanding and further research.
EBOOK: Value-at-Risk – Theory and Practice
References References Abouarghoub, Wessam Implementing the new science of risk management to tanker freight markets, doctoral thesis, University of the West of England. Alexander, Carol O. Chibumba Allen, M.
Value-at-Risk: Theory and Practice, Second Edition – by Glyn A. Holton
Unlike market risk metrics such as the Greeks, duration or beta, which are applicable to only certain asset categories or certain sources of market risk, value-at-risk is general. All liquid assets have uncertain market values, which can be characterized with probability distributions. All sources of market risk contribute to those probability distributions. Being applicable to all liquid assets and encompassing, at least in theory, all sources of market risk, value-at-risk is a broad metric of market risk.