Quantitative Risk Management

Compartilhar

Imprimir

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.

"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."--Riccardo Rebonato, Royal Bank of Scotland, author of Modern Pricing of Interest-Rate Derivatives