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 edition

Publication Statements

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

The Physical Object

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

Edition Identifiers

ISBN:0691166277, 9780691166278
oclc:ocn894625411
LC Classification:HD61
Dewey Decimal:658.1/55/0151

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.

Subjects

ARCH-Prozess Assurance -- Modèles mathématiques Business and Management Finance -- mathematical models Finances -- Modèles mathématiques Financial Engineering Finanzmanagement Finanzmathematik Försäkring Gestion du risque -- Modèles mathématiq… Insurance -- Mathematical models Kreditrisiko Matematisk statistik Matematiska modeller Mathematical statistics Multivariate Wahrscheinlichkeitsverteil… Risikomanagement Risk management -- Mathematical models Riskhantering Zeitreihenanalyse