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Quantitative risk management：concepts, techniques and tools

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Bibliographic Details
Main Authors: McNeil Alexander J 1967-
Group Author: Frey Rüdiger; Embrechts Paul 1953-
Published: Princeton University Press,
Publisher Address: Princeton, N.J.
Publication Dates: c2005.
Literature type: Book
Language: English
Series: Princeton series in finance
Subjects:
Risk management > Mathematical models
Finance > Mathematical models
Insurance > Mathematical models
Mathematical statistics
Risk management
Kwantitatieve methoden
Gestion du risque > Modèles mathématiques
Finances > Modèles mathématiques
Assurance > Modèles mathématiques
Statistique mathématique
Carrier Form: xv, 538 p.: ill. ; 25 cm.
ISBN: 0691122555 (cloth : alk. paper)
9780691122557 (cloth : alk. paper)
Index Number: F224
CLC: F224.9
Call Number: F224.9/M478
Contents: Includes bibliographical references (p. [503]-527) and index.
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.

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