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Author McNeil, Alexander J., 1967-

Title Quantitative risk management : concepts, techniques and tools / Alexander J. McNeil, Rüdiger Frey, Paul Embrechts.

Imprint Princeton, N.J. : Princeton University Press, ©2005.


Location Call No. OPAC Message Status
 Axe Books 24x7 Business E-Book  Electronic Book    ---  Available
Description 1 online resource.
text txt rdacontent
computer c rdamedia
online resource cr rdacarrier
Series Princeton series in finance
Princeton series in finance.
Bibliography Includes bibliographical references and index.
Summary Annotation 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.
Contents Risk in perspective -- Basic concepts in risk management -- Multivariate models -- Financial time series -- Copulas and dependence -- Aggregate risk -- Extreme value theory -- Credit risk management -- Dynamic credit risk models -- Operational risk and insurance analytics -- Appendix: A.1. Miscellaneous definitions and results -- A.2. Probability distributions -- A.3. Likelihood inferences.
Language English.
Subject Risk management -- Mathematical models.
Finance -- Mathematical models.
Insurance -- Mathematical models.
Mathematical statistics.
Gestion du risque -- Modèles mathématiques.
Finances -- Modèles mathématiques.
Assurance -- Modèles mathématiques.
Statistique mathématique.
Finance -- Mathematical models. (OCoLC)fst00924398
Insurance -- Mathematical models. (OCoLC)fst00974575
Mathematical statistics. (OCoLC)fst01012127
Risk management -- Mathematical models. (OCoLC)fst01098179
Risk management.
Kwantitatieve methoden.
Modèle mathématique.
Risque financier.
Gestion des risques.
Statistique mathématique.
Genre/Form Electronic books.
Added Author Frey, Rüdiger. Author.
Embrechts, Paul, 1953- Author.
Other Form: Print version: McNeil, Alexander J., 1967- Quantitative risk management. Princeton, N.J. : Princeton University Press, ©2005 0691122555 9780691122557 (DLC) 2005049603 (OCoLC)60796246
ISBN 9781400837571
9780691122557 (cloth)
0691122555 (cloth ; alk. paper)
Standard No. 9780691122555
AU@ 000053261726

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