Quantitative risk management : concepts, techniques and tools (Book, 2015) [WorldCat.org]
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Quantitative risk management : concepts, techniques and tools
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Quantitative risk management : concepts, techniques and tools

Author: Alexander J McNeil; Rüdiger Frey; Paul Embrechts
Publisher: Princeton, New Jersey : Princeton University Press, [2015] ©2015
Series: Princeton series in finance.
Edition/Format:   Print book : English : Revised editionView all editions and formats
Summary:
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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Document Type: Book
All Authors / Contributors: Alexander J McNeil; Rüdiger Frey; Paul Embrechts
ISBN: 0691166277 9780691166278
OCLC Number: 894625411
Description: xix, 699 pages : illustrations ; 26 cm.
Contents: 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.
Series Title: Princeton series in finance.
Responsibility: Alexander J. McNeil, Rüdiger Frey, Paul Embrechts.
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Abstract:

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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One of the Top 10 Technical Books on Financial Engineering by Financial Engineering News for 2006 Praise for the previous edition: "This book provides a state-of-the-art discussion of the three main Read more...

 
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