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

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9780691166278: Quantitative Risk Management: Concepts, Techniques and Tools (Princeton Series in Finance)

This book provides the most comprehensive treatment of the theoretical concepts and modelling techniques of quantitative risk management. Whether you are a financial risk analyst, actuary, regulator or student of quantitative finance, Quantitative Risk Management gives you the practical tools you need to solve real-world problems.

Describing the latest advances in the field, Quantitative Risk Management covers the methods for market, credit and operational risk modelling. It places standard industry approaches on a more formal footing and explores key concepts such as loss distributions, risk measures and risk aggregation and allocation principles. The book's methodology draws on diverse quantitative disciplines, from mathematical finance and statistics to econometrics and actuarial mathematics. A primary theme throughout is the need to satisfactorily address extreme outcomes and the dependence of key risk drivers. Proven in the classroom, the book also covers advanced topics like credit derivatives.

  • Fully revised and expanded to reflect developments in the field since the financial crisis
  • Features shorter chapters to facilitate teaching and learning
  • Provides enhanced coverage of Solvency II and insurance risk management and extended treatment of credit risk, including counterparty credit risk and CDO pricing
  • Includes a new chapter on market risk and new material on risk measures and risk aggregation

Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

From the Inside Flap:

Praise for the previous edition: "This book is a compendium of the statistical arrows that should be in any quantitative risk manager's quiver. It includes extensive discussion of dynamic volatility models, extreme value theory, copulas, and credit risk. Academics, Ph.D. students, and quantitative practitioners will find many new and useful results in this important volume."--Robert F. Engle III, 2003 Nobel Laureate in Economic Sciences, Michael Armellino Professor in the Management of Financial Services at New York University's Stern School of Business

Praise for the previous edition: "This book provides a framework and a useful toolkit for analysis a wide variety of risk management problems. Common pitfalls are pointed out, and mathematical sophistication is used in pursuit of useful and usable solutions. Every financial institution has a risk management department that looks at aggregated portfolio-wide risks on longer time scales, and at risk exposure to large, or extreme, market movements. Risk managers are always on the lookout for good techniques to help them do their jobs. This very good book provides these techniques and addresses an important, and under-developed, area of practical research."--Martin Baxter, Nomura International

Praise for the previous edition: "McNeil, Frey, and Embrechts present a wide-ranging yet remarkably clear and coherent introduction to the modelling of financial risk. Unlike most finance texts, where the focus is on pricing individual instruments, the primary focus in this book is the statistical behavior of portfolios of risky instruments, which is, after all, the primary concern of risk management. This ought to be a core text in every risk manager's training, and a useful reference for experienced professionals."--Michael Gordy

Praise for the previous edition: "There is no book that provides the type of rigorous and detailed coverage of risk management topics that this book does. This could become the book on quantitative risk management."--Riccardo Rebonato, Royal Bank of Scotland, author of Modern Pricing of Interest-Rate Derivatives

From the Back Cover:

Praise for the previous edition: "McNeil, Frey, and Embrechts present a wide-ranging yet remarkably clear and coherent introduction to the modelling of financial risk. Unlike most finance texts, where the focus is on pricing individual instruments, the primary focus in this book is the statistical behavior of portfolios of risky instruments, which is, after all, the primary concern of risk management. This ought to be a core text in every risk manager's training, and a useful reference for experienced professionals."--Michael Gordy

Praise for the previous edition: "There is no book that provides the type of rigorous and detailed coverage of risk management topics that this book does. This could become the book on quantitative risk management."--Riccardo Rebonato, Royal Bank of Scotland, author of Modern Pricing of Interest-Rate Derivatives

Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.

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McNeil, Alexander J.; Frey, Rüdiger; Embrechts, Paul
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ISBN 10: 0691166277 ISBN 13: 9780691166278
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Descrizione libro Princeton University Press. Hardcover. Condizione libro: New. 0691166277 New and in great condition with no missing or damaged pages. Need it urgently? Upgrade to Expedited. In stock and we ship daily on weekdays & Saturdays. Codice libro della libreria E20QW1

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Descrizione libro Princeton University Press, 2015. HRD. Condizione libro: New. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Codice libro della libreria BB-9780691166278

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Descrizione libro Princeton University Press 2015-06-16, Princeton, 2015. hardback. Condizione libro: New. Codice libro della libreria 9780691166278

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Descrizione libro Princeton University Press 2015-05-25, 2015. Condizione libro: New. Brand new book, sourced directly from publisher. Dispatch time is 24-48 hours from our warehouse. Book will be sent in robust, secure packaging to ensure it reaches you securely. Codice libro della libreria NU-GRD-05197495

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Descrizione libro Princeton University Press, United States, 2015. Hardback. Condizione libro: New. Revised. Language: English . Brand New Book. This book provides the most comprehensive treatment of the theoretical concepts and modelling techniques of quantitative risk management. Whether you are a financial risk analyst, actuary, regulator or student of quantitative finance, Quantitative Risk Management gives you the practical tools you need to solve real-world problems.Describing the latest advances in the field, Quantitative Risk Management covers the methods for market, credit and operational risk modelling. It places standard industry approaches on a more formal footing and explores key concepts such as loss distributions, risk measures and risk aggregation and allocation principles. The book s methodology draws on diverse quantitative disciplines, from mathematical finance and statistics to econometrics and actuarial mathematics. A primary theme throughout is the need to satisfactorily address extreme outcomes and the dependence of key risk drivers. Proven in the classroom, the book also covers advanced topics like credit derivatives.Fully revised and expanded to reflect developments in the field since the financial crisisFeatures shorter chapters to facilitate teaching and learningProvides enhanced coverage of Solvency II and insurance risk management and extended treatment of credit risk, including counterparty credit risk and CDO pricingIncludes a new chapter on market risk and new material on risk measures and risk aggregation. Codice libro della libreria AAZ9780691166278

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Descrizione libro Condizione libro: New. Bookseller Inventory # ST0691166277. Codice libro della libreria ST0691166277

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McNeil, Alexander J., Frey, R?diger, Embrechts, Paul
Editore: Princeton University Press (2015)
ISBN 10: 0691166277 ISBN 13: 9780691166278
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Descrizione libro Princeton University Press, 2015. Condizione libro: New. 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. Series: Princeton Series in Finance. Num Pages: 720 pages, illustrations. BIC Classification: KFF; KJMV1. Category: (P) Professional & Vocational; (U) Tertiary Education (US: College). Dimension: 188 x 262 x 46. Weight in Grams: 1654. . 2015. Revised. Hardcover. . . . . . Codice libro della libreria V9780691166278

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