Quantitative risk management. Concepts, techniques and tools. Revised edition. (English) Zbl 1337.91003

McNeil, Alexander J.; Frey, Rüdiger; Embrechts, Paul

Princeton, NJ: Princeton University Press (ISBN 978-0-691-16627-8/hbk). xix, 699 p. (2015).

Publisher’s description: This book provides the most comprehensive treatment of the theoretical concepts and modelling techniques of quantitative risk management. Whether you are a financial risk analyst, actuary, regulator or student of quantitative finance, The book gives you the practical tools you need to solve real-world problems.
Describing the latest advances in the field, the book covers the methods for market, credit and operational risk modelling. 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. The book’s methodology draws on diverse quantitative disciplines, from mathematical finance and statistics to econometrics and actuarial mathematics. A primary theme throughout is the need to satisfactorily address extreme outcomes and the dependence of key risk drivers. Proven in the classroom, the book also covers advanced topics like credit derivatives.

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fully revised and expanded to reflect developments in the field since the financial crisis

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features shorter chapters to facilitate teaching and learning

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provides enhanced coverage of solvency II and insurance risk management and extended treatment of credit risk, including counterparty credit risk and CDO pricing

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includes a new chapter on market risk and new material on risk measures and risk aggregation

See the review of the first edition in [Zbl 1089.91037].

MSC:

91-01	Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance
91G70	Statistical methods; risk measures
91B30	Risk theory, insurance (MSC2010)
91B84	Economic time series analysis
91G20	Derivative securities (option pricing, hedging, etc.)
91G40	Credit risk
91G10	Portfolio theory
62-01	Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics
62P05	Applications of statistics to actuarial sciences and financial mathematics
62P20	Applications of statistics to economics
60G70	Extreme value theory; extremal stochastic processes
62M10	Time series, auto-correlation, regression, etc. in statistics (GARCH)
62H05	Characterization and structure theory for multivariate probability distributions; copulas

Citations:

Zbl 1089.91037

Software:

QRM