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Essential Mathematics for Market Risk Management
ISBN: 978-1-119-97952-4
January 2012
352 pages
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
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.