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Popular Articles

How to Calculate Value-at-Risk – Step by Step

The power of value-at-risk lies in ints generality. 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. It is based on the probability...

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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

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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Is Risk Management a Job or a Career?

There are few life decisions as consequential as your choice of career. Get it wrong, and you're in for a world of discontent. Perhaps you currently have a risk management position and are wondering if you can make it a career. Or maybe you are just starting out and...

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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 The 4 T’s Overlook

If you have been active in risk management for a while, you have probably heard of the 4 T 's. These—at a very high level—are the four possible responses to risk. Conveniently, each begins with the letter T: Tolerate Treat Transfer Terminate They appear in various...

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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 more than 500 times. Have you read it yet?

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.

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.

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Defining Risk

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