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

Bookseller

TRITON_AIAS (GR)

Bookseller's Inventory #

1000000000000001

Title

Quantitative Risk Management (Princeton Series in Finance)

Author

Alexander j.McNeil, Rüdiger Frey, Paul Embrechts

Format/Binding

Hardcover

Book Condition

Used - Very Good+

Jacket Condition

Very Good++

Quantity Available

1

Edition

First

ISBN 10

0691122555

ISBN 13

9780691122557

Publisher

Princeton University Press

Place of Publication

London

Date Published

2005

Keywords

quantitative risk

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.

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