Know your risk.
If you are looking for something specific, it is likely one of these:
- My landmark paper Defining Risk;
- My book on value-at-risk, which is freely available online. The first edition was published
by Academic Press in 2003; the second edition was published online in 2013.
- Exercise solutions for the book;
- My blog on financial risk management.
I continue to accept a limited number of consulting engagements. These generally relate to high-level risk management strategy, addressing organizational issues related to risk management, or risk measure analytics. Please contact me, if you have a need.
People involved in financial risk management know of me. I worked in the industry full-time for many years before switching to academia. I teach in the Department of Applied Mathematics at Wentworth Institute. I also tutor mathematics to promising young students. My risk-related research continues.
Popular Blog Articles
The risk manager slumped behind his desk. It had been a long day, troubleshooting the latest emergency. He was tired. We both were. He was coming to terms—everyone was—with the fact that there would be no bonuses this year. Bonuses were tied to the firm achieving its...
A lot of people who receive your risk report never read it. Here is a simple fix: Add narrative, qualitative information. Years ago, a client asked me to attend his firm's corporate board meeting. I got a front row seat for how one closely-held corporation's CEO...
You finally did it! You landed that senior risk management position at a fabulous firm. The job search took a while, and the vetting was intense. But you made the cut. They chose you! A bigger challenge is yet to come. Starting a new job is exciting. It can also be a...
I have written about it before, and I am sure I will write about it again. ... how financial risks that devastate firms aren’t random occurrences, as if the gods on Olympus toss dice to determine a company’s fate. No. There are causes. And these are usually traceable...
Imagine you are presenting to the board about risk management. The presentation is going well, and you are about to finish up when a board member stirs. He hasn't said a word the entire meeting, so this is his chance to look smart. He asks "What are you guys doing...
During the 1800s, mathematicians, and especially Cauchy, finally got around to rigorizing calculus. They got rid of the “infinitesimal” business once and for all, replacing infinitesimals with limits. It is troubling how widespread misunderstanding of calculus is 150 years later. Instead of understanding calculus from Cauchy’s rigorous standpoint, people embrace a hodge-podge of infinitesimals AND limits.
Very impressed with the insights that Glyn has in math and behavioral aspects linked to risk management. Glyn has a special skill of simplifying complex math concepts for practical implementation. He is truly a Guru of Risk Managment.
My landmark paper Defining Risk has been cited over 1,000 times. Have you read it?
The Definitive Book on
Yes, I wrote it, and I distribute the latest edition free online. The book provides an in-depth discussion of value-at-risk, its history, how it is used, mathematics, implementation and validation. There are over 160 exercises you can practice on, with solutions provided right on this website.
Yes, I wrote it, and I distribute the latest edition free online. The book provides an in-depth discussion of value-at-risk, its history, how it is used, mathematics, implementation and validatuion. There are over 160 exercises you can practice on, with solutions provided right on this website here.