Quantitative risk management - concepts, techniques and tools-Princeton University Press (2015)

• Authors: Alexander J. McNeil, Rüdiger Frey, Paul Embrechts
• Publisher: Princeton University Press
• Year of Publication: 2015
• Format: PDF
• Difficulty: ⭐⭐⭐⭐
• Recommendation Index: ⭐⭐⭐⭐⭐
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Introduction

This book "Quantitative Risk Management: Concepts, Techniques and Tools" comprehensively explains the theoretical concepts and modeling techniques in quantitative risk management. It covers modeling methods for market risk, credit risk and operational risk and provides a more formal elaboration of industry standard methods [1, 2, 3, 4]. The book explores key concepts such as loss distribution, risk measures (including VaR and CVaR), and risk aggregation and allocation principles [1, 2, 3, 7]. The methodology of this book draws on a variety of quantitative disciplines such as mathematical finance, statistics, econometrics, and actuarial mathematics [1, 2, 3]. A major theme is the need to adequately address extreme outcomes and dependencies on key risk drivers [1, 2, 3]. Techniques discussed in the book include multivariate statistical analysis, financial time series modeling, copulas, and extreme value theory [2]. The 2015 revision reflects developments in the field since the financial crisis, enhancing coverage of Solvency II and insurance risk management, expanding the treatment of credit risk (including counterparty credit risk and CDO pricing), and adding new content on market risk and risk aggregation [1, 3, 8]. This book is intended for financial risk analysts, actuaries, regulators, and students of quantitative finance, providing practical tools for solving real-world problems [1, 2, 3, 4].

Main features

• Solid theoretical foundation
• Rich practical cases
• Clear operating instructions
• Suitable for practical applications

Suitable for the crowd

• Quantitative Analyst
• Algorithmic Trader
• Financial Engineer
• Data Scientist