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This book is organized by [TheQuantHackers Community] (https://llmquant.com/) and provides PDF downloads. It is only for learning and communication. The copyright belongs to the original author.
This book is organized by [TheQuantHackers Community] (https://llmquant.com/) and provides PDF downloads. It is only for learning and communication. The copyright belongs to the original author.
This book is an authoritative work in the field of quantitative risk management. It systematically introduces mathematical methods and practical applications of financial risk management, including market risk, credit risk, operational risk and other aspects. The book provides an in-depth exploration of core concepts such as risk measurement methods, loss distribution, risk aggregation and allocation principles, and focuses on the interdependence between extreme events and key risk drivers. Its methodology integrates various quantitative disciplines such as mathematical finance, statistics, econometrics and actuarial mathematics, and covers key mathematical techniques such as multivariate statistical analysis, financial time series modeling, Copula function and extreme value theory, providing readers with practical tools to solve actual financial risk problems. [1, 2, 3, 4, 6, 10, 11, 12, 13]
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本书籍由TheQuantHackers社区整理, 并提供PDF下载, 只供学习交流使用, 版权归原作者所有。
作者: Alexander J. McNeil, Rüdiger Frey, Paul Embrechts
出版社: Princeton University Press
出版年份: 2015
难度: ⭐⭐⭐⭐⭐
推荐指数: ⭐⭐⭐⭐⭐
PDF下载: 点击下载
本书是量化风险管理领域的权威著作，系统介绍了金融风险管理的数学方法和实践应用，包括市场风险、信用风险和操作风险等多个方面。书中深入探讨了风险度量方法、损失分布、风险聚合与分配原则等核心概念，并着重处理极端事件和关键风险驱动因素之间的相依性。其方法论融合了数理金融、统计学、计量经济学和精算数学等多种量化学科，涵盖了多元统计分析、金融时间序列建模、Copula函数以及极值理论等关键数学技术，为读者提供了解决实际金融风险问题的实用工具。 [1, 2, 3, 4, 6, 10, 11, 12, 13]
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