Quantitative Risk Management : Concepts, Techniques, and Tools (Princeton Series in Finance)
Editorial Reviews
Review
Robert F. Engle III, 2003 Nobel Laureate in Economic Sciences, Michael Armellino Professor in the Management of Financial Services at New York University's Stern School of Business : This book is a compendium of the statistical arrows that should be in any quantitative risk manager's quiver. It includes extensive discussion of dynamic volatility models, extreme value theory, copulas, and credit risk. Academics, Ph.D. students, and quantitative practitioners will find many new and useful results in this important volume.
Martin Baxter, Nomura International : This book provides a framework and a useful toolkit for analysis a wide variety of risk management problems. Common pitfalls are pointed out, and mathematical sophistication is used in pursuit of useful and usable solutions. Every financial institution has a risk management department that looks at aggregated portfolio-wide risks on longer time scales, and at risk exposure to large, or extreme, market movements. Risk managers are always on the lookout for good techniques to help them do their jobs. This very good book provides these techniques and addresses an important, and under-developed, area of practical research.
Michael Gordy : McNeil, Frey, and Embrechts present a wide-ranging yet remarkably clear and coherent introduction to the modelling of financial risk. Unlike most finance texts, where the focus is on pricing individual instruments, the primary focus in this book is the statistical behavior of portfolios of risky instruments, which is, after all, the primary concern of risk management. This ought to be a core text in every risk manager's training, and a useful reference for experienced professionals.
Riccardo Rebonato, Royal Bank of Scotland, author of "Modern Pricing of Interest-Rate Derivatives" : There is no book that provides the type of rigorous and detailed coverage of risk management topics that this book does. This could become the book on quantitative risk management.
Book Description
The implementation of sound quantitative risk models is a vital concern for all financial institutions, and this trend has accelerated in recent years with regulatory processes such as Basel II. This book provides a comprehensive treatment of the theoretical concepts and modelling techniques of quantitative risk management and equips readers--whether financial risk analysts, actuaries, regulators, or students of quantitative finance--with practical tools to solve real-world problems. The authors cover methods for market, credit, and operational risk modelling; place standard industry approaches on a more formal footing; and describe recent developments that go beyond, and address main deficiencies of, current practice.
The book's methodology draws on diverse quantitative disciplines, from mathematical finance through statistics and econometrics to actuarial mathematics. Main concepts discussed include loss distributions, risk measures, and risk aggregation and allocation principles. A main theme is the need to satisfactorily address extreme outcomes and the dependence of key risk drivers. The techniques required derive from multivariate statistical analysis, financial time series modelling, copulas, and extreme value theory. A more technical chapter addresses credit derivatives. Based on courses taught to masters students and professionals, this book is a unique and fundamental reference that is set to become a standard in the field.
Quantitative Risk Management : Concepts, Techniques, and Tools (Princeton Series in Finance),Alexander J. McNeil,Rudiger Frey,Paul Embrechts,Princeton University Press,0691122555,Business & Economics,Business / Economics / Finance,Business/Economics,Finance,Insurance,Mathematical models,Risk management,Business & Economics / Finance,Economics,Mathematics
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