IDEAS home Printed from https://ideas.repec.org/h/pup/chapts/10496-1.html
   My bibliography  Save this book chapter

Preface

In: Quantitative Risk Management: Concepts, Techniques and Tools Revised edition

Author

Listed:
  • Author-Name: Alexander J. McNeil

    (Heriot-Watt University, Edinburgh)

  • Rüdiger Frey

    (Vienna University of Economics and Business)

  • Paul Embrechts

    (Swiss Federal Institute of Technology, Zurich)

Abstract

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

Suggested Citation

  • Author-Name: Alexander J. McNeil & Rüdiger Frey & Paul Embrechts, 2015. "Preface," Introductory Chapters, in: Quantitative Risk Management: Concepts, Techniques and Tools Revised edition, Princeton University Press.
  • Handle: RePEc:pup:chapts:10496-1
    as

    Download full text from publisher

    File URL: http://assets.press.princeton.edu/chapters/p10496.pdf
    Download Restriction: no
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pup:chapts:10496-1. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Webmaster (email available below). General contact details of provider: http://press.princeton.edu .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.