Articles liés à Quantitative Risk Management: Concepts, Techniques...

Quantitative Risk Management: Concepts, Techniques And Tools - Couverture rigide

McNeil, Alexander J.; Frey, Rüdiger; Embrechts, Paul

 
9780691122557: Quantitative Risk Management: Concepts, Techniques And Tools
Couverture rigide
ISBN 10 : 0691122555 ISBN 13 : 9780691122557
Editeur : Princeton University Press, 2005

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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

À propos de l'auteur

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".

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
Princeton University Press
Date d'édition
2005
Langue
anglais
ISBN 10 
0691122555
ISBN 13 
9780691122557
Reliure
Relié
Nombre de pages
538
Coordonnées du fabricant
non disponible
Personne responsable
non disponible