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Quantitative risk management : concepts, techniques and tools

Author: Alexander J McNeil; Rüdiger Frey; Paul Embrechts
Publisher: Princeton, N.J. : Princeton University Press, ©2005.
Series: Princeton series in finance.
Edition/Format:   eBook : Document : EnglishView all editions and formats
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Genre/Form: Electronic books
Additional Physical Format: Print version:
McNeil, Alexander J., 1967-
Quantitative risk management.
Princeton, N.J. : Princeton University Press, ©2005
(DLC) 2005049603
(OCoLC)60796246
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Alexander J McNeil; Rüdiger Frey; Paul Embrechts
ISBN: 9781400837571 140083757X
OCLC Number: 698163222
Language Note: English.
Description: 1 online resource.
Contents: Risk in perspective --
Basic concepts in risk management --
Multivariate models --
Financial time series --
Copulas and dependence --
Aggregate risk --
Extreme value theory --
Credit risk management --
Dynamic credit risk models --
Operational risk and insurance analytics --
Appendix: A.1. Miscellaneous definitions and results --
A.2. Probability distributions --
A.3. Likelihood inferences.
Series Title: Princeton series in finance.
Responsibility: Alexander J. McNeil, Rüdiger Frey, Paul Embrechts.
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Abstract:

Provides a comprehensive treatment of the theoretical concepts and modelling techniques of quantitative risk management and equips readers with practical tools to solve real-world problems. This work  Read more...

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One of the Top 10 Technical Books on Financial Engineering by Financial Engineering News for 2006 "Quantitative Risk Managment can be highly recommended to anyone looking for an excellent survey of Read more...

 
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