Coverart for item
The Resource Quantitative risk management : concepts, techniques and tools, Alexander J. McNeil, Rüdiger Frey, Paul Embrechts

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

Label
Quantitative risk management : concepts, techniques and tools
Title
Quantitative risk management
Title remainder
concepts, techniques and tools
Statement of responsibility
Alexander J. McNeil, Rüdiger Frey, Paul Embrechts
Creator
Contributor
Subject
Language
eng
Summary
"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 some of the main deficiencies of, current practice."--BOOK JACKET
Cataloging source
DLC
http://library.link/vocab/creatorDate
1967-
http://library.link/vocab/creatorName
McNeil, Alexander J.
Illustrations
illustrations
Index
index present
LC call number
HD61
LC item number
.M395 2005
Literary form
non fiction
http://library.link/vocab/relatedWorkOrContributorDate
1953-
http://library.link/vocab/relatedWorkOrContributorName
  • Frey, Rüdiger
  • Embrechts, Paul
Series statement
Princeton series in finance
http://library.link/vocab/subjectName
  • Risk management
  • Finance
  • Insurance
  • Mathematical statistics
Label
Quantitative risk management : concepts, techniques and tools, Alexander J. McNeil, Rüdiger Frey, Paul Embrechts
Instantiates
Publication
Bibliography note
Includes bibliographical references (p. [503]-527) and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
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
Control code
ocm60796246
Dimensions
25 cm.
Extent
xv, 538 p.
Isbn
9780691122557
Lccn
2005049603
Media category
unmediated
Media MARC source
rdamedia
Media type code
  • n
Other physical details
ill.
Label
Quantitative risk management : concepts, techniques and tools, Alexander J. McNeil, Rüdiger Frey, Paul Embrechts
Publication
Bibliography note
Includes bibliographical references (p. [503]-527) and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
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
Control code
ocm60796246
Dimensions
25 cm.
Extent
xv, 538 p.
Isbn
9780691122557
Lccn
2005049603
Media category
unmediated
Media MARC source
rdamedia
Media type code
  • n
Other physical details
ill.

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