Quantitative Risk Management: Concepts, Techniques, and Tools (Princeton Series in Finance)

Alexander J. McNeil; Rüdiger Frey; Paul Embrechts

ISBN 10: 0691122555 / ISBN 13: 9780691122557

Published by Princeton University Press, 2005

Former library book; Missing dust jacket; Pages can have notes/highlighting. Spine may show signs of wear. ~ ThriftBooks: Read More, Spend Less 2.1. Seller Inventory # G0691122555I3N11

Synopsis:

The implementation of sound quantitative risk models is a vital concern for all financial institutions, and this trend has accelerated in recent years with regulatory processes such as Basel II. 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. The authors cover methods for market, credit, and operational risk modelling; place standard industry approaches on a more formal footing; and describe recent developments that go beyond, and address main deficiencies of, current practice. The book's methodology draws on diverse quantitative disciplines, from mathematical finance through statistics and econometrics to actuarial mathematics. Main concepts discussed include loss distributions, risk measures, and risk aggregation and allocation principles. A main theme is the need to satisfactorily address extreme outcomes and the dependence of key risk drivers. The techniques required derive from multivariate statistical analysis, financial time series modelling, copulas, and extreme value theory. A more technical chapter addresses credit derivatives. Based on courses taught to masters students and professionals, this book is a unique and fundamental reference that is set to become a standard in the field.

About the Author: Alexander J. McNeil is Professor of Mathematics at the Swiss Federal Institute of Technology (ETH) in Zurich. Rudiger Frey is Professor of Financial Mathematics at the University of Leipzig. Paul Embrechts, Professor of Insurance Mathematics at the Swiss Federal Institute of Technology (ETH) in Zurich, is the coauthor of "Modelling Extremal Events for Insurance and Finance".

Bibliographic Details

Title: Quantitative Risk Management: Concepts, ...
Publisher: Princeton University Press
Publication Date: 2005
Binding: Hardcover
Condition: Good
Dust Jacket Condition: No Jacket