Quantitative risk management concepts, techniques and tools /

Quantitative risk management [electronic resource] : concepts, techniques and tools / Alexander J. McNeil, Rùˆdiger Frey, Paul Embrechts.

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Bibliographic Details
Online Access: Online Access (A-Z Journals and Newspapers)
Main Author: McNeil, Alexander J., 1967-
Other Authors: Frey, Rùˆdiger, Embrechts, Paul, 1953-
Other title:Quantitative Risk Management: Concepts, Techniques, and Tools
Format: Electronic eBook
Language:English
Published: Princeton, N.J. : Princeton University Press, c2005.
Subjects:
Risk management > Mathematical models.
Finance > Mathematical models.
Insurance > Mathematical models.
Mathematical statistics.
Table of 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.

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