Quantitative Risk Management: concepts, techniques and tools

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This book provides a comprehensive treatment of the theoretical concepts and modelling techniques of quantitative risk management and equips readers - whether financial risk analysts, actuaries, regulators, or students of quantitative finance - with practical tools to solve real-world problems.

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Title Statements

Full title :Quantitative Risk Management : concepts, techniques and tools / Alexander J. McNeil, Rüdiger Frey, Paul Embrechts.

Summary

Edition Statements

Publication Date:2015
Edition:Revised editon

Publication Statements

Publisher(s):Princeton University Press
Place of Publication:Princeton, NJ
Language:eng
Publication Date:2015

The Physical Object

Description:xix, 699 pages : : illustrations ; : 26 cm

Edition Identifiers

ISBN:9780691166278, 0691166277
oclc:ocn946567952
LC Classification:HD61
Dewey Decimal:658.15/50151

Risk in perspective -- Basic concepts in risk management -- Empirical properties of financial data -- Financial time series -- Extreme value theory -- Multivariate models -- Copulas and dependence -- Aggregate risk -- Market risk -- Credit risk -- Portfolio credit risk management -- Portfolio credit derivatives -- Operational risk and insurance analytics -- Multivariate time series -- Advanced topics in multivariate modelling -- Advanced topics in extreme value theory -- Dynamic portfolio credit risk models and counterparty risk -- Appendix A.1 : Miscellaneous definitions and results -- Appendix A2 : Probability distributions -- Appendix A.3 : Likelihood inference.

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