000			02237nam a22002537a 4500
999			_c1727 _d1727
005			20220304175503.0
008			220304b ||||| |||| 00| 0 eng d
020			_a9780691166278
082			_a658.1550151 _bMCN
100			_aMcNeil, Alexander J. _94647
245			_aQuantitative risk management: concepts, techniques and tools
260			_bPrinceton University Press _aNew Jersey _c2015
300			_axix, 699 p.
365			_aUSD _b95.00
490			_aPrinceton series in finance
520			_aThis 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, Quantitative Risk Management gives you the practical tools you need to solve real-world problems. Describing the latest advances in the field, Quantitative Risk Management 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. Fully revised and expanded to reflect developments in the field since the financial crisis Features shorter chapters to facilitate teaching and learning Provides enhanced coverage of Solvency II and insurance risk management and extended treatment of credit risk, including counterparty credit risk and CDO pricing Includes a new chapter on market risk and new material on risk measures and risk aggregation
650			_aFinance--Mathematical models _9180
650			_aMathematical statistics _9837
650			_aRisk management--Mathematical models _95828
650			_aInsurance--Mathematical models _95829
700			_aFrey, Rüdiger _95830
700			_aEmbrechts, Paul _95831
942			_2ddc _cBK