Know your risk.

Prof. Glyn Holton

Hello! 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:

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 Question Every Risk Manager Should Ask

The Question Every Risk Manager Should Ask

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...

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How To Start A New Risk Management Job

How To Start A New Risk Management Job

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...

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A Revelation

A Revelation

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...

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Fooled By Black Swans

Fooled By Black Swans

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...

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What Exactly is an Infinitesimal?

What Exactly is an Infinitesimal?

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.

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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.

Rajeev Kadam

President - Global Head - Internal Compliance, Olam International Ltd.

Must Read!

My landmark paper Defining Risk has been cited over 1,000 times. Have you read it?

The Definitive Book on
Value-at-Risk

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. 

value-at-risk book cover

The Definitive
Book on
Value-at-Risk

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.