Value-at-Risk Theory and Practice

About the Author

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Glyn Holton is an independent consultant in financial risk management. Contingency Analysis is the name of his practice. Mr. Holton advises global organizations on managing and taking risk. His clients include financial institutions, institutional investors, corporate treasuries, utilities, regulators and software firms. He has experience in the capital, commodity, and energy markets. He has in-depth knowledge of banking and insurance.

Prior to forming his practice in May 1995, Mr. Holton worked as an actuary for Metropolitan Life. He worked for Fidelity Investments, advising Fidelity’s institutional clients on risk management and portfolio strategies. He also worked for the Bank of Boston, developing advanced analytics for quantifying the market and credit risk associated with the bank's trading activities.

Mr. Holton has spoken frequently at industry conferences. He has written papers on institutional investing and risk management which have appeared in the Financial Analysts Journal, RISK and other publications. He maintains the Contingency Analysis family of websites, which includes riskglossary.com, riskchat.com and riskbook.com. Through his consulting practice, he runs a popular series of courses and provides recruiting services for traders, risk managers and financial engineers.

Mr. Holton studied graduate level mathematics at both Carnegie Mellon and Temple Universities, earning his masters degree from Temple University in 1989.

 

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