Quantitative Risk Management
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Quantitative Risk Management

Concepts, Techniques and Tools - Revised Edition

Alexander J. McNeil, Rüdiger Frey, Paul Embrechts

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eBook - PDF

Quantitative Risk Management

Concepts, Techniques and Tools - Revised Edition

Alexander J. McNeil, Rüdiger Frey, Paul Embrechts

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About This Book

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, 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

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Information

Publisher
Princeton University Press
Year
2015
ISBN
9781400866281
Topic
Business
Subtopic
Financial Risk Management
Index
Business
298
8.
Aggregate
Risk
0.2
0.4
0.6
0.8
1.0
1.2
1.4
0.2
0.4
0.6
0.8
1.0
1.2
1.4
X
1
X
2
0.0
0.5
1.0
1.5
2.0
2.5
3.0
0.0
0.5
1.0
1.5
2.0
2.5
3.0
X
1
X
2
(a)
(b)
Figure
8.2.
Illustration
of
scenario
sets
S
α
when
X
1
and
X
2
are
two
independent
standard
exponential
variates
and
the
risk
measure
is
VaR
α
.
(a)
The
case
α
=
0
.
7,
where
VaR
α
is
not
coherent
on
M
.
(b)
The
case
α
=
0
.
95,
where
VaR
α
is
coherent.
be
deduced
from
the
picture
by
noting
that
the
black
vertical
line
on
the
right
is
x
1
=
VaR
α
(X
1
)
,
the
upper
black
horizontal
line
is
x
2
=
VaR
α
(X
2
)
,
and
the
bold
diagonal
line
is
x
1
+
x
2
=
VaR
α
(X
1
+
X
2
)
.
This
agrees
with
our
observation
in
Example
7.30.

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