Quantitative risk management. Concepts, techniques, and tools. (English) Zbl 1089.91037

Princeton Series in Finance. Princeton, NJ: Princeton University Press (ISBN 0-691-12255-5/hbk). xv, 538 p. (2005).
This book is primarily a textbook for courses in quantitative risk management (QRM) aimed at advanced undergraduate or graduate students and professionals from the financial industry. The book has a secondary function as a reference text for risk professionals interested in a clear and concise treatment of concepts and techniques used on practice. Different courses can be devised based on different chapters of the book: market risk, credit risk, operational risk, risk-measurement and aggregation concepts, risk-management techniques for financial econometricians. Material from various chapters could be used as interesting examples for statistics courses on subjects like multivariate analysis, time series analysis and generalized linear modelling.


91-01 Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance
91B30 Risk theory, insurance (MSC2010)
91B26 Auctions, bargaining, bidding and selling, and other market models
91G70 Statistical methods; risk measures
91B70 Stochastic models in economics