Quantitative Risk Management

Concepts, techniques and tools

Alexander McNeil, Rüdiger Frey, Paul Embrechts - Collection Princeton series in finance

540 pages, parution le 17/11/2005

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Résumé

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.

L'auteur - Alexander McNeil

Alexander J. McNeil is Professor of Mathematics at the Swiss Federal Institute of Technology (ETH) in Zurich.

L'auteur - Rüdiger Frey

Rüdiger Frey is Professor of Financial Mathematics at the University of Leipzig.

L'auteur - Paul Embrechts

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.

Sommaire

Risk in perspective
Basic concepts in risk management
Multivariate models
Financial Times series
Copulas and dependence
Aggregate risk
Extreme value theory
Credit risk management
Dinamic credit risk models
Operationnal risk and insurance analytics
Appendix

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Princeton University Press
Auteur(s)	Alexander McNeil, Rüdiger Frey, Paul Embrechts
Collection	Princeton series in finance
Parution	17/11/2005
Nb. de pages	540
Format	16,5 x 24,5
Couverture	Relié
Poids	890g
Intérieur	Noir et Blanc
EAN13	9780691122557
ISBN13	978-0-691-12255-7