Know your risk.
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:
- My landmark paper Defining Risk;
- My book on value-at-risk—the second edition is free online;
- Exercise solutions for my book.
On this site, you will also find my blog, a link to my other publications, and more.
People involved in financial risk management for a while know of me. I worked in the industry for many years before switching to academia. I taught mathematics at Wentworth Institute for a number of years while continuing my research. I recently retired from the classroom and now tutor mathematics. My risk-related research continues.
Popular Blog Articles
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...read more
The power of value-at-risk lies in its 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...read more
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...read more
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...read more
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...read more
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...read more
My landmark paper Defining Risk has been cited over 700 times. Have you read?
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.