McNeil is professor of actuarial mathematics and cnn student news 2015 statistics at Heriot-Watt University in Edinburgh.
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.
First published in 2005.
A primary theme throughout is the need to satisfactorily address extreme outcomes and the dependence of key risk drivers.This book provides the most comprehensive treatment of the theoretical concepts and modelling techniques of quantitative risk management.Describing the latest advances in the field, Quantitative Risk Management covers the methods for market, credit and operational risk modelling.Features shorter chapters to facilitate teaching and learning.Proven in the classroom, the book also covers advanced topics like credit derivatives.Paul Embrechts is professor of mathematics at the Swiss Federal Institute of Technology in Zurich.Provides enhanced coverage of Solvency II and insurance risk management and extended treatment of credit risk, including counterparty credit risk and CDO pricing.Rüdiger Frey is professor of mathematics and finance font for bb os 5 at the Vienna University of Economics and Business.Includes a new chapter on market risk and new material on risk measures and risk aggregation.
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.
The book's methodology draws on diverse quantitative disciplines, from mathematical finance and statistics to econometrics and actuarial mathematics.
Fully revised and expanded to reflect developments in the field since the financial crisis.
Description of the book Quantitative Risk Management: Concepts, Techniques and Tools by McNeil,.
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