Quantitative risk management [electronic resource] : concepts, techniques and tools / Alexander J. McNeil, Rùˆdiger Frey, Paul Embrechts.
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Other title: | Quantitative Risk Management: Concepts, Techniques, and Tools |
Format: | Electronic eBook |
Language: | English |
Published: |
Princeton, N.J. :
Princeton University Press,
c2005.
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Subjects: |
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.