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; or
- 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
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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Must Read!
My landmark paper Defining Risk has been cited more than 500 times. Have you read it yet?
More …
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