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Quantitative risk management : concepts, techniques and tools / Alexander J. McNeil, Rüdiger Frey and Paul Embrechts.

By: Contributor(s): Material type: TextTextSeries: Princeton series in financePublication details: Princeton : Princeton University Press, ©2015.Edition: rev. edDescription: xix, 699 p. : illustrations ; 26 cmISBN:
  • 9780691166278
Subject(s): DDC classification:
  • 658.1550151 23 M478
Contents:
1. Risk in perspective -- 2. Basic concepts in risk management -- 3. Empirical properties of financial data -- 4. Financial time series -- 5. Extreme value theory -- 6. Multivariate models -- 7. Copulas and dependence -- 8. Aggregate risk -- 9. Market rist -- 10. Credit risk -- 11. Portfolio credit risk models -- 12. Portfolio credit derivatives -- 13. Operational risk and insurance analytics -- 14. Multivariate time series -- 15. Advanced topics in multivariate modelling -- 16. Advanced topics in extreme value theory -- 17. Dynamic portfolio credit risk models and counterparty risk. Appendix.
Summary: 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.
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Holdings
Item type Current library Call number Status Date due Barcode Item holds
Books ISI Library, Kolkata 658.1550151 M478 (Browse shelf(Opens below)) Available 136949
Total holds: 0

Includes bibliographic references and index.

1. Risk in perspective --
2. Basic concepts in risk management --
3. Empirical properties of financial data --
4. Financial time series --
5. Extreme value theory --
6. Multivariate models --
7. Copulas and dependence --
8. Aggregate risk --
9. Market rist --
10. Credit risk --
11. Portfolio credit risk models --
12. Portfolio credit derivatives --
13. Operational risk and insurance analytics --
14. Multivariate time series --
15. Advanced topics in multivariate modelling --
16. Advanced topics in extreme value theory --
17. Dynamic portfolio credit risk models and counterparty risk.
Appendix.

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.

Text in English.

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