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Quantitative Risk Management: Concepts, Techniques and Tools (Princeton Series in Finance)

Amazon.com Price:  $73.71 (as of 12/05/2019 16:26 PST- Details)

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Description

This book provides the most comprehensive remedy of the theoretical concepts and modelling techniques of quantitative risk management. Whether you’re a financial risk analyst, actuary, regulator or student of quantitative finance, Quantitative Risk Management provides you with the practical tools you wish to have to solve real-world problems.

Describing the contemporary 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 number one theme all over is the wish to satisfactorily address extreme outcomes and the dependence of key risk drivers. Proven in the study room, the book also covers advanced topics like credit derivatives.

  • Fully revised and expanded to reflect developments in the field because the financial crisis
  • Features shorter chapters to facilitate teaching and learning
  • Provides enhanced coverage of Solvency II and insurance risk management and extended remedy 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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