Quantitative risk management:concepts, techniques and tools
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Main Authors: | |
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Group Author: | ; |
Published: |
Princeton University Press,
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Publisher Address: | Princeton, N.J. |
Publication Dates: | c2005. |
Literature type: | Book |
Language: | English |
Series: |
Princeton series in finance |
Subjects: | |
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. |